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Real Rate (real + rate)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting66%
Humanities and Social Sciences33%

Selected Abstracts

Issues in Money Demand: The Case of Europe

JCMS: JOURNAL OF COMMON MARKET STUDIES, Issue 4 2004
Mike Artis
This article establishes a co-integration analysis for the euro area (sample period: 1983,2000), identifying three co-integrating vectors: one which can be labelled money demand (in which real M3 money balances are related to output, with unit elasticity, and the long rate of interest); another pertaining to the spread between the short and long rate of interest; and a third which is an output (IS) relationship in which output is related to the real rate of interest. Currency substitution terms affect the adjustment of real money balances though they do not enter the co-integration space. We use the aggregation procedure for historical Euroland data advocated by Beyer, Doornik and Hendry for application to aggregation of money, GDP and prices when exchange rates were varying. We make use of the German short- and long-term interest rates as benchmarks for own rate and opportunity cost variables. [source]

Short and long-run returns to agricultural R&D in South Africa, or will the real rate of return please stand up?

AGRICULTURAL ECONOMICS, Issue 1 2000
David Schimmelpfennig
Abstract This paper briefly presents the results of a total factor productivity (TFP) study of South African commercial agriculture, for 1947-1997, and illustrates some potential pitfalls in rate of return to research (ROR) calculations. The lag between R&D and TFP is analyzed and found to be only 9 years, with a pronounced negative skew, reflecting the adaptive focus of the South African system. The two-stage approach gives a massive ROR of 170%. The predetermined lag parameters are then used in modeling the knowledge stock, to refine the estimates of the ROR from short- and long-run dual profit functions. In the short run, with the capital inputs treated as fixed, the ROR is a more reasonable 44%. In the long run, with adjustment of the capital stocks, it rises to 113%, which would reflect the fact that new technology is embodied in the capital items. However, the long-run model raises a new problem since capital stock adjustment takes 11 years, 2 years longer than the lag between R&D and TFP. If this is assumed to be the correct lag, the ROR falls to 58%, a best estimate. The paper draws attention to the possible sensitivity of rate of return calculations to assumed lag structure, particularly when the lag between changes in R&D and TFP is skewed. [source]

Econometric Analysis of Fisher's Equation

AMERICAN JOURNAL OF ECONOMICS AND SOCIOLOGY, Issue 1 2005
Peter C. B. Phillips
Fisher's equation for the determination of the real rate of interest is studied from a fresh econometric perspective. Some new methods of data description for nonstationary time series are introduced. The methods provide a nonparametric mechanism for modelling the spatial densities of a time series that displays random wandering characteristics, like interest rates and inflation. Hazard rate functionals are also constructed, an asymptotic theory is given, and the techniques are illustrated in some empirical applications to real interest rates for the United States. The paper ends by calculating semiparametric estimates of long-range dependence in U.S. real interest rates, using a new estimation procedure called modified log periodogram regression and new asymptotics that covers the nonstationary case. The empirical results indicate that the real rate of interest in the United States is (fractionally) nonstationary over 1934,1997 and over the more recent subperiods 1961,1985 and 1961,1997. Unit root nonstationarity and short memory stationarity are both strongly rejected for all these periods. [source]

EXPLAINING THE EQUITY RISK PREMIUM,

THE MANCHESTER SCHOOL, Issue 6 2006
LAURIAN LUNGU
We develop a simple overlapping generations model in which the young have a choice in investing in equities or index-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such long-term investments predicts an equity premium that matches historical values. Moreover, we calibrate the model and show that it can predict up to the fourth moment of both the observed risk premium and the real rate of interest. [source]

A Stochastic Measure of International Competitiveness,

INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2009
KENNETH W. CLEMENTS
ABSTRACT Government agencies produce indexes that purport to measure international competitiveness. The most common version is the real effective exchange rate, which is some form of weighted average of the real exchange rates of the country's trading partners. Such indexes convey a false sense of accuracy as they ignore the volatility among the component real exchange rates of the partners. As long as all real rates do not move in an equiproportionate fashion, in a fundamental sense real effective exchange rates are subject to estimation uncertainty. We demonstrate how this uncertainty can be measured and used to enhance current practice. [source]

DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING?

THE MANCHESTER SCHOOL, Issue 4 2010
EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD
This paper investigates empirically the effects of real interest rate volatility on demand for total housing and new housing in the USA. The investigation looks at monthly data from 1975 to 2006 using the autoregressive distributed lag bounds testing approach to co-integration and the Hendry ,general-to-specific' causality test. Three different real rates are applied: mortgage, long term and short term. The results indicate a long-run equilibrium relationship between housing demand and its determinants including interest rate volatility. Results from the causality test indicate housing demand determinants (including interest rate volatility) cause demand for both total and new housing in the long run. [source]