Real Interest Rate Persistence : Evidence and Implications / Christopher J. Neely, David E. Rapach.

Format:

Datafile

Contributor:

Neely, Christopher J.

Rapach, David E.

Inter-university Consortium for Political and Social Research.

Series:

ICPSR (Series) ; 24541.

ICPSR ; 24541

Language:

English

Physical Description:

1 online resource.

Place of Publication:

Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2009.

System Details:

Mode of access: World Wide Web.

data file

Summary:

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research.

Contents:

Part 1: Real Interest Rate Persistence: Evidence and Implications

Notes:

Title from ICPSR DDI metadata of 2009-04-22.

OCLC:

436451458

Access Restriction:

Restricted for use by site license.