haku: @author Zhang, H. / yhteensä: 15
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| Tekijä: | Wu, Y. Zhang, H. |
| Otsikko: | Mean reversion in Interest Rates: new evidence from a panel of OECD countries |
| Lehti: | Journal of Money, Credit and Banking
1996 : NOV, VOL. 28:4/1, p. 604-621 |
| Asiasana: | INTEREST RATES OECD MONEY |
| Kieli: | eng |
| Tiivistelmä: | Over the past decade, economists have shown considerable interest in the time series properties of interest rates, with particular attention being paid to the issue of whether interest rates can be characterized as unit root or mean-reverting processes. If interest rates contain unit roots, then a one-time shock to interest rates is permanent and its effects cannot be eliminated as time elapses. On the other hand, if interest rates can be characterized as stationary processes, then innovations are transitory and are expected to be reversed. |
SCIMA