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Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...
Defaultable debt, interest rates and the current account
Defaultable deb interest rates the current account
2014/3/12
World capital markets have experienced large scale sovereign defaults on a number of occasions. In this paper we develop a quantitative model of debt and default in a small open economy. We use this m...
Defaultable debt, interest rates and the current account
Sovereign debt Default Current account Interest rates Stochastic trend
2014/3/12
World capital markets have experienced large scale sovereign defaults on a number of occasions. In this paper we develop a quantitative model of debt and default in a small open economy. We use this m...
MONEY, PRICES, INTEREST RATES AND THE BUSINESS CYCLE
MONEY PRICES INTEREST RATES THE BUSINESS CYCLE
2014/3/18
he mechanisms governing the relationship of money, prices and interest rates to the business cycle are the most studied and most disputed topics in macroeconomics. In this paper, ...