The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests |
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Authors: | Nicholas Apergis Christina Christou James W Saunoris |
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Institution: | 1. Department of Economics, Curtin University, Perth, Australia;2. Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece;3. Department of Economics, Eastern Michigan University, Ypsilanti, MI, USA |
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Abstract: | This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in persistence, while under cross-sectional dependence there is only weak evidence of changes in persistence from I(1) to I(0). The evidence of changes in persistence when the direction is considered unknown is even weaker. |
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Keywords: | real interest rates persistence OECD economies new panel ratio tests |
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