dc.contributor.author |
Gil-Alana, Luis A.
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|
dc.contributor.author |
Cunado, Juncal
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|
dc.contributor.author |
Gupta, Rangan
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dc.date.accessioned |
2017-06-26T10:33:26Z |
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dc.date.issued |
2017-09 |
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dc.description.abstract |
This study examines the time series behavior of U.S. short- and long-run real ex-post interest rates within a long memory approach with non-linear trends using a long span of monthly and annual data. Overall, our results suggest that U.S. real interest rates are not as persistent as suggested in the literature. The implications of this result are relevant to evaluate both the effectiveness of policy interventions and the theoretical implications of different macroeconomic and financial models. For example, our results are consistent with the main implications of the consumption-based asset pricing models and the Fisher effect. Furthermore, the results point out to the difficulties of the monetary policy to influence interest rates, mainly in the long-run, and thus, highlighting varied interest rate policies across short and long-runs when it comes to affecting the real economy. © 2017 The Society for Policy Modeling. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-09-17 |
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dc.description.librarian |
hj2017 |
en_ZA |
dc.description.sponsorship |
The first-named author gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55236). Juncal Cuñado gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55496). |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/jpm |
en_ZA |
dc.identifier.citation |
Gil-Alana, L.A., Cunado, J. & Gupta, R. Evidence of persistence in U.S. short and long-term interest rates. Journal of Policy Modeling (2017) 39(5) : 775-789, http://dx.doi.org/10.1016/j.jpolmod.2017.04.005 |
en_ZA |
dc.identifier.issn |
1873-8060 (online) |
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dc.identifier.issn |
0161-8938 (print) |
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dc.identifier.other |
10.1016/j.jpolmod.2017.04.005 |
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dc.identifier.uri |
http://hdl.handle.net/2263/61088 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2017 The Society for Policy Modeling. Published by Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of Policy Modeling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of Policy Modeling, vol. 39, no. 5, pp. 775-789, 2017. doi : 10.1016/j.jpolmod.2017.04.005. |
en_ZA |
dc.subject |
Interest rate |
en_ZA |
dc.subject |
Long memory |
en_ZA |
dc.subject |
Non-linear trends |
en_ZA |
dc.subject |
Policy implications |
en_ZA |
dc.subject |
United States (US) |
en_ZA |
dc.title |
Evidence of persistence in U.S. short and long-term interest rates |
en_ZA |
dc.type |
Postprint Article |
en_ZA |