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Real Interest Rate Persistence: Evidence and Implications (ICPSR 24541)
Principal Investigator(s): Neely, Christopher J., Federal Reserve Bank of St. Louis ; Rapach, David E., Saint Louis University
The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research.
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.
Neely, Christopher J., and David E. Rapach. Real Interest Rate Persistence: Evidence and Implications. ICPSR24541-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-01-26. http://doi.org/10.3886/ICPSR24541.v1
Persistent URL: http://doi.org/10.3886/ICPSR24541.v1
This study was funded by:
- Federal Reserve Bank of St. Louis. Research Division
Scope of Study
Subject Terms: consumer price index, consumption, economic activity, economic forecasting, economic indicators, economic models, economic policy, economic trends, financial policy, Gross National Product, inflation, inflation rates, interest rates, macroeconomics
Geographic Coverage: United States
Data Collection Notes:
A zipped package contains a readme file, several programming syntax files, and two ASCII data files (all in text format) corresponding to the tables and figures used in the article.
These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.
Original ICPSR Release: 2009-01-26
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