The time-varying behaviour of real interest rates: a re-evaluation of the recent evidence
使用带马尔可夫转换条件异方差性的时变参数模型，研究实际利率的两种变化来源：预期实际利率与名义利率、通胀率及供给冲击变量的系数变化，以及随机过程方差的无条件变化。结果强调应通过其他经济变量建模预期实际利率的持续变化，而非仅依赖允许均值有限离散跳跃的统计特征。
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the coefficients relating the ex ante real rate to the nominal rate, the inflation rate and a supply shock variable and (2) unconditional shifts in the variance of the stochastic process. The results underscore the importance of modelling continual change in the ex ante real rate in terms of other economic variables rather than relying on a statistical characterization that permits only a limited number of discrete jumps in the mean of the process. Copyright © 1999 John Wiley & Sons, Ltd.