IS THE REAL INTEREST RATE REALLY UNSTABLE?

Journal of Financial Research - Tập 17 Số 4 - Trang 551-559 - 1994
Seung-Mook Choi1
1University of Nevada, Las Vegas

Tóm tắt

AbstractIf nominal interest rates have a unit root, but inflation and inflation forecast errors do not, ex‐ante real interest rates are argued to have a unit root and are therefore nonstationary. I show that empirical tests for nonstationarity of real interest rates using such a deductive method can be misleading when the stationary inflation forecast errors are large relative to the variation of nominal interest rates.

Từ khóa


Tài liệu tham khảo

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Journal of Financial Research

Tập 17 Số 4

551-559

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