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Strong dependence in the real interest rates

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The stochastic behaviour of the real interest rates in ten European countries, Canada and the US is examined in this article by means of fractionally integrated techniques. Using a procedure, specifically designed for testing I(d) statistical models, the results show that the real interest rates are more persistent in some countries like France, Belgium or the USA than in others like the UK or Germany.
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Document Type: Research Article

Affiliations: Humboldt Universität zu Berlin, Institut für Statistik und Ökonometrie, Berlin, Germany and University of Navarre, Department of Economics, Pamplona, Spain E-mail:

Publication date: 2003-01-01

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