Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?
用Bai-Perron方法检验13个工业化国家实际利率均值的多重结构断点，发现各国均存在断点，且这些断点常与通胀率断点同步出现，通胀上升时实际利率往往下降。
In this paper, we use the Bai and Perron (1998, 2001, 2003) methodology to test for multiple structural breaks in the mean real interest rate for 13 industrialized countries. We find extensive evidence of structural breaks in the mean real interest rate for all 13 countries. In an attempt to explain the breaks in international real interest rates, we also test for multiple structural breaks in the mean inflation rate for the 13 countries. Once again, we find extensive evidence of structural breaks in the mean inflation rate for all of the countries. Interestingly, the breaks in inflation rates and real interest rates often coincide, with increases (decreases) in the mean inflation rate as we move from one regime to the next typically associated with decreases (increases) in the mean real interest rate.