English, Article edition: Stationary properties of the real interest rate and the per-capita consumption growth rate: empirical evidence for theoretical arguments Claude Lopez; Javier Reyes

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Physical Description
  • article
Language
  • English

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Title
  • Stationary properties of the real interest rate and the per-capita consumption growth rate: empirical evidence for theoretical arguments
Author
  • Claude Lopez
  • Javier Reyes
Physical Description
  • article
Notes
  • Many economic theories connecting the real interest rate and the per-capita consumption growth rate require that both rates evolve together over time. This article investigates whether these rates present similar stationary behaviour for the seven most industrialized countries over the 1957-2005 period. The analysis relies on the unit root tests developed by Elliott et al. (1996) and Lopez (2006) to look for stationary or regime-wise stationary behaviour, respectively. Furthermore, the final break selection uses Bai and Perron's (2003) method. The results show, for all the countries considered, that both rates are either stationary or regime-wise stationary with the same number of breaks and, mostly, with corresponding dates. The results hold whether the rates are calculated annually or quarterly.
  • RePEc:taf:applec:v:41:y:2009:i:13:p:1643-1651
Language
  • English
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