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On real interest rate dynamics and regime switching

Kanas, Angelos (2008) On real interest rate dynamics and regime switching. Journal of Banking and Finance, 32 (10). pp. 2089-2098. ISSN 0378-4266. (doi:10.1016/j.jbankfin.2006.10.027) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http:dx.doi.org/10.1016/j.jbankfin.2006.10.027

Abstract

We find evidence of regime switching dynamics in the USA and the UK real interest rates over the period 1881-2003. For the UK, there is a regime in which the real interest rate displays a relatively stronger mean-reversion and a regime in which it displays a relatively weaker mean-reversion. The former regime is characterized by a relatively larger error in the estimation of the reversion parameter, and higher volatility. For the USA, the two regimes differ in volatility. The probability of transition from one regime to another is found to be significantly related to the inflation rate regime, and to the political regime. The results highlight the importance of regime switching in the dynamics of the real interest rate, as well as the role of inflation and political regimes in explaining this switching. © 2007 Elsevier B.V. All rights reserved.

Item Type: Article
DOI/Identification number: 10.1016/j.jbankfin.2006.10.027
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, 74100 Rethymnon Crete, Greece [Field not mapped to EPrints] AD - IACM, FORTH, Crete, Greece [Field not mapped to EPrints] JA - J. Bank. Financ. [Field not mapped to EPrints]
Uncontrolled keywords: Inflation regimes, Political regimes, Real interest rate, UK, USA
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 13:47 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41145 (The current URI for this page, for reference purposes)
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