Statistical evidence on the mean reversion of real interest rates: SPSM using the Panel KSS test with a Fourier function
ABSTRACT This study applies the Sequential Panel Selection Method (SPSM) to test the mean reversion properties in the real interest rates for the G-10 countries (i.e. Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, the United Kingdom and the United States) over the period 1980M1 to 2010M12. SPSM classifies the whole panel into a group of stationary countries and a group of nonstationary countries. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS; 200311.
Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 : 359 – 79 . [CrossRef], [Web of Science ®]View all references) test with a Fourier function indicate that the mean reversion holds true for all the G-10 countries. Our results have important policy implications for the G-10 countries under study.
Article: Is the Real Interest Rate Stable?[Show abstract] [Hide abstract]
ABSTRACT: Univariate time series models for consumption, nominal interest rat es, and prices each appear to have a single unit-root before 1979. If nominal interest rates have a unit-root , but inflation and forecast errors do not, then ex ante real interest rates have a unit-root and are therefore nonstationary. The unit-root characteristic of real interest rates is puzzling: man y models imply that the growth rate of consumption and the real interest rate should have similar time-series characteristics; also, nominal returns for other assets appear to have very different time-series properties. Copyright 1988 by American Finance Association.The Journal of Finance 02/1988; 43(5):1095-1112. · 4.22 Impact Factor
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ABSTRACT: [eng] Transportation costs and monopoly location in presence of regional disparities. . This article aims at analysing the impact of the level of transportation costs on the location choice of a monopolist. We consider two asymmetric regions. The heterogeneity of space lies in both regional incomes and population sizes: the first region is endowed with wide income spreads allocated among few consumers whereas the second one is highly populated however not as wealthy. Among the results, we show that a low transportation costs induces the firm to exploit size effects through locating in the most populated region. Moreover, a small transport cost decrease may induce a net welfare loss, thus allowing for regional development policies which do not rely on inter-regional transportation infrastructures. cost decrease may induce a net welfare loss, thus allowing for regional development policies which do not rely on inter-regional transportation infrastructures. [fre] Cet article d�veloppe une statique comparative de l'impact de diff�rents sc�narios d'investissement (projet d'infrastructure conduisant � une baisse mod�r�e ou � une forte baisse du co�t de transport inter-r�gional) sur le choix de localisation d'une entreprise en situation de monopole, au sein d'un espace int�gr� compos� de deux r�gions aux populations et revenus h�t�rog�nes. La premi�re r�gion, faiblement peupl�e, pr�sente de fortes disparit�s de revenus, tandis que la seconde, plus homog�ne en termes de revenu, repr�sente un march� potentiel plus �tendu. On montre que l'h�t�rog�n�it� des revenus constitue la force dominante du mod�le lorsque le sc�nario d'investissement privil�gi� par les politiques publiques conduit � des gains substantiels du point de vue du co�t de transport entre les deux r�gions. L'effet de richesse, lorsqu'il est associ� � une forte disparit� des revenus, n'incite pas l'entreprise � exploiter son pouvoir de march� au d�triment de la r�gion lCowles Foundation, Yale University, Cowles Foundation Discussion Papers. 01/1986;
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ABSTRACT: In this paper, we investigate the degree of persistence in quarterly postwar tax-adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax-adjusted real interest rates are typically very persistent, with the lower bound of the 95% confidence interval for the sum of the autoregressive coefficients very close to 0.90 for nearly every country. A highly persistent real interest rate has important theoretical implications. Copyright © 2004 John Wiley & Sons, Ltd.International Journal of Finance & Economics 02/2004; 9(4):339-346. · 0.33 Impact Factor