Persistence and long memory in monetary policy spreads
Author:
Affiliation:
1. Department of Economics and Finance, Brunel University London, London, UK
2. Faculty of Economics, Pamplona, Spain and Faculty of Economics and Governance, Universidad Francisco de Vitoria, Madrid, Spain
Funder
Ministerio de Ciencia e Innovación
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2023.2186371
Reference28 articles.
1. On Large-Sample Estimation for the Mean of a Stationary Random Sequence
2. Cross-country differences in monetary policy execution and money market rates’ volatility
3. Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
4. An exponential model for the spectrum of a scalar time series
5. Comovements in volatility in the euro money market
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