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The Resource Real Interest Rate Persistence: Evidence and Implications

Real Interest Rate Persistence: Evidence and Implications

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Real Interest Rate Persistence: Evidence and Implications
Title
Real Interest Rate Persistence: Evidence and Implications
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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
http://library.link/vocab/creatorName
Neely, Christopher J
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Rapach, David E.
Label
Real Interest Rate Persistence: Evidence and Implications
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24541
Control code
ICPSR24541.v1
Governing access note
Access restricted to subscribing institutions
Label
Real Interest Rate Persistence: Evidence and Implications
Publication
Note
24541
Control code
ICPSR24541.v1
Governing access note
Access restricted to subscribing institutions

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