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Cleomar Gomes da Silva and Flávio Vilela Vieira
''BRICS countries: real interest rates and long memory''
( 2014, Vol. 34 No.1 )
This paper analyzes the degree of persistence of the ex-post real interest rates of the BRICS (Brazil, Russia, India, China, and South Africa) using long-memory ARFIMA models, as well as unit root tests with structural breaks. For the period ranging from July 2000 to December 2012, the results show very high persistence, and non-stationarity but mean reversion for all countries, except for Russia, which showed signs of non-stationarity and no mean reversion. However, when structural breaks were accounted for, the results indicate that part of the persistence found previously in the real interest rates of China, South Africa and India was due to those breaks. Brazil was not influenced by the breaks but was able to keep its pattern of high persistence, but with mean reversion. Russia, on the other hand, kept its pattern of non-stationarity and no influence of breaks.
Keywords: Persistence, Interest Rates, Fractional Integration
JEL: E4 - Money and Interest Rates: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Aug 11 2013 Manuscript Accepted : Mar 03 2014

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