Real Interest Rate Persistence: Evidence and Implications (ICPSR 24541)

Published: Jan 26, 2009

Principal Investigator(s):
Christopher J. Neely, Federal Reserve Bank of St. Louis ; David E. Rapach, Saint Louis University

https://doi.org/10.3886/ICPSR24541.v1

Version V1

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.

Neely, Christopher J., and Rapach, David E. Real Interest Rate Persistence: Evidence and Implications. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-01-26. https://doi.org/10.3886/ICPSR24541.v1

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Federal Reserve Bank of St. Louis. Research Division

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.

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2009-01-26

2009-01-26

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