Skip to main content

Is the real interest rate unstable? Some new evidence

Buy Article:

$55.00 plus tax (Refund Policy)

Prior studies typically report that real Treasury bill returns have a unit root. The unit-root findings are not consistent with the long-run Fisher effect and consumptionbased asset pricing models. This study examines a data set of ex ante real returns on US Treasury bills and commercial papers. The statistical analysis employs a new modified Dickey-Fuller test, whc has better power than standard unit-root tests. In contrast to previous findings, strong evidence of stationarity is found for all the real return series under examination. Implications of the results are discussed.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Publication date: 1997-03-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more