English, Article, Journal or magazine article edition: Time series behavior of the short-term real interest rates in industrial countries Su Zhou

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Bookmark: http://trove.nla.gov.au/version/198308
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Time series behavior of the short-term real interest rates in industrial countries
Author
  • Su Zhou
Physical Description
  • preprint
Notes
  • With quarterly data of a sample period starting from 1973, the conventional unit root tests reject the null of nonstationarity in favor of the alternative of linear stationarity for short-term real interest rates (RIRs) of non-European industrial countries. There is evidence of nonlinearities in many European countries’ RIRs, most of which appear to be stationary exponential smooth transition autoregressive processes.
  • Real interest rates; Unit root; Nonlinear stationarity
  • RePEc:tsa:wpaper:0060
Language
  • English
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