Working Paper
Behavior of the real rate of interest over the business cycle
Abstract: In this paper we document real rate behavior. We do this by looking across a wide variety of constructed real rate series. These series are obtained by using a number of different methodologies for estimating expected inflation, using several different price series, and looking over different time periods. The evidence suggests that over the entire sample period, real rate increases follow output increases and the real rate is positively correlated with contemporaneous output. These results, however, are sensitive to the price series used. That is, we find evidence of specification uncertainty. We also find that real rate behavior varies over different sample periods.
Keywords: Interest rates; Monetary policy; Business cycles;
Access Documents
File(s): File format is text/html http://www.richmondfed.org/publications/research/working_papers/2000/wp_00-9.cfm
File(s):
File format is application/pdf
https://www.richmondfed.org/-/media/RichmondFedOrg/publications/research/working_papers/2000/pdf/wp00-9.pdf
Description: Full text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Working Paper
Publication Date: 2000
Number: 00-09