Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/14474
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.date.accessioned2017-04-27T13:30:32Z-
dc.date.available2017-10-10-
dc.date.available2017-04-27T13:30:32Z-
dc.date.issued2017-
dc.identifier.citationCaporale, G.M. and Gil-Alana, L.A. (2017) 'Persistence and cycles in the us federal funds rate', International Review of Financial Analysis, 52, pp. 1-8. doi: 10.1016/j.irfa.2017.04.007.en_US
dc.identifier.issn1057-5219-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/14474-
dc.description.abstract© 2017 The Author(s). This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and its cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2017. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other one on two fractional differencing structures, one at the zero and the other at a cyclical frequency. Thus, the two approaches differ in the way the cyclical component of the process is modelled. In both cases we obtain evidence of long memory and fractional integration with cycles repeating approximately every 8 years. The in-sample goodness-of-fit analysis supports the second specification in the majority of cases. An out-of-sample forecasting experiment also suggests that the long-memory model with two fractional differencing parameters is the most adequate one, especially over long horizons.en_US
dc.description.sponsorshipLuis A. Gil-Alana gratefully acknowledges financial support from the Ministerio de Ciencia y Tecnología (ECO2014-55236).en_US
dc.description.sponsorshipMinisterio de Ciencia y Tecnología (ECO2014-55236).-
dc.format.extent1 - 8-
dc.format.mediumPrint-Electronic-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2017 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/).-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectFederal Funds rateen_US
dc.subjectpersistenceen_US
dc.subjectcyclical behaviouren_US
dc.subjectfractional integrationen_US
dc.titlePersistence and cycles in the US Federal Funds rateen_US
dc.typeArticleen_US
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2017.04.007-
dc.relation.isPartOfInternational Review of Financial Analysis-
pubs.publication-statusPublished-
pubs.volume52-
dc.identifier.eissn1873-8079-
Appears in Collections:Dept of Economics and Finance Research Papers

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