Couchman, Jeremy; Gounder, Rukmani; Su, Jen-Je - In: Applied Financial Economics Letters 2 (2006) 1, pp. 25-30
This study examines the long-run dynamics of ex post and ex ante real interest rates for 16 countries. Three real interest rates -- the realized (ex post) rate and two ex ante rates -- are examined for each of the 16 countries. The magnitude of persistence is estimated using the ARFIMA model....
