An Analysis of the Real Interest Rate Under Regime Shifts

Open Access

1 February 1996

journal article
Published by JSTOR in The Review of Economics and Statistics

Vol. 78 (1), 111
https://doi.org/10.2307/2109851

Abstract

We consider the time series behavior of the U.S. real interest rate from 1961 to 1986, using the methodology of Hamilton (1989), by allowing three possible regi...

Keywords

INFLATION
STRUCTURAL CHANGE
TIME SERIES
UNIT ROOT
REAL INTEREST RATE
STOCHASTIC PROCESS
MODEL SELECTION
STOCHASTIC PROCESSES
INTEREST RATE

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