Mean-reversion in international real interest rates

Jae Kim, Inyeob Ji

    Research output: Contribution to journalArticleResearchpeer-review

    5 Citations (Scopus)

    Abstract

    This paper examines the mean-reversion property of real interest rates. Many past studies have reported puzzling outcomes of the mean-aversion of real interest rates for a number of countries. In the article, we employ panel unit root tests and carry out half-life estimation based on the bias-corrected bootstrap. These findings of the paper provide strong evidence that, in both major Western and East Asian capital markets (including several emerging ones), real interest rates are mean-reverting. In addition, we find evidence that the degree of mean-reversion of the real interest rates is positively correlated with that of output growth, which is consistent with the implications of standard intertemporal behavior.
    Original languageEnglish
    Pages (from-to)1959 - 1966
    Number of pages8
    JournalEconomic Modelling
    Volume28
    Issue number4
    DOIs
    Publication statusPublished - 2011

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