Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data

Luis Gil-Alana, Juncal Cuñado () and Rangan Gupta

No 201553, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examines the time series behavior of U.S. short- and long-run real expost interest rates within a long memory approach with non-linear trends using a long span of monthly and annual data. Recursive estimates of the integration order for the short- and long-run rates suggest long memory for the monthly data for the whole period of time, while we cannot reject the I(0) hypothesis for the annual short and long run interest rates.

Keywords: interest rates; long memory; non-linear trends (search for similar items in EconPapers)
JEL-codes: C22 E43 G12 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2015-07
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201553

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