The change in real interest rate persistence in OECD countries: Evidence from modified panel ratio tests
This study examines whether real interest rates exhibit changes in persistence for a panel of Organization of Economic Cooperation and Development countries. The findings show that for long-term real interest rates there are changes in persistence from I(0) to I(1). For short-term real interest rates, the results display the absence of changes in persistence, while under cross-sectional dependence there is only weak evidence of changes in persistence from I(1) to I(0). The evidence of changes in persistence when the direction is considered unknown is even weaker.
Apergis, N., Christou, C., Payne, J. E., & Saunoris, J. W. (2015). The change in real interest rate persistence in OECD countries: Evidence from modified panel ratio tests. Journal of Applied Statistics, 42(1), 202–213. doi:10.1080/02664763.2014.938620