Long memory story of the real interest rate

DOI10.1016/S0165-1765(99)00272-4MaRDI QIDQ1978774zbMATH OpenFDO

Authors Yanyan Li

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(99)00272-4

zbMATH Keywords

long memoryreal interest rateunit root

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

• THE REAL-INTEREST-RATE GAP AS AN INFLATION INDICATOR
• The perverse response of interest rates
• Long-term interest rates, risk premia and unconventional monetary policy
• A simple long-memory equilibrium interest rate model
• Measuring the trend real interest rate in a data-rich environment

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing
• Long memory processes and fractional integration in econometrics
• Long memory relationships and the aggregation of dynamic models
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(13)

• Alternative approaches to modeling time variation in the case of the U. S. real interest rate
• A simple long-memory equilibrium interest rate model
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Pricing credit derivatives under fractional stochastic interest rate models with jumps
• Time-varying long-range dependence in US interest rates
• How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Fractional integration and the volatility of UK interest rates
• Bayesian inference for long memory term structure models
• Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models

This page was built for publication: Long memory story of the real interest rate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978774)