The long memory story of real interest rates. Can it be supported?
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- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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More about this item
Keywords
Real interest rate; Long memory; Fractional Integration;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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