U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks
用新开发的计量检验方法，考察1914年美联储成立是否导致美英短期名义利率从水平平稳转为差分平稳，发现美国利率在1917年6月快速转变，而英国利率在整个时期均为差分平稳。
This paper presents econometric evidence on whether the founding of the Federal Reserve in 1914 caused a structural change from level stationarity to difference stationarity in U.S. and U.K. short-term nominal interest rates. We develop new econometric tests that allow for parameter transitions to test for a break of this kind and undertake a grid search analysis of dates and speeds for the change. We find that U.S. nominal interest rates most likely evolved rapidly to difference stationarity in June 1917. For the United Kingdom we fail to reject the null that U.K. interest rate series follow a difference stationary process over the entire period 1890-1934. Our analysis differs from previous research on this topic in that we take care to explore statistical uncertainty around parameter estimates, and incorporate higher-order dynamics into our econometric analysis.