The Time Series Behavior of Real Interest Rates: A Comment


G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research


Carnegie-Rochester Conference Series on Public Policy, 31 (Autumn 1986) 83-125


The Huizinga-Mishkin [1985] paper presents a strong case that the changes in monetary policy "regimes" by the Federal Reserve Board in October 1979 and in October 1982 caused major changes in the behavior of real interest rates. This paper examines the robustness of these results.

Key words: Interest rates, Inflation, Federal Reserve, ARIMA

JEL Classifications: G12, G14, E32


Cited 8 times in the SSCI and SCOPUS through 2014
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© Copyright 1986, Elsevier
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