1. A TIME SERIES ANALYSIS OF POST-ACCORD INTEREST RATES: COMMENT.
- Author
-
PIPPENGER, JOHN E.
- Subjects
INTEREST rates ,BUSINESS cycles ,CONFIDENCE intervals ,TIME series analysis ,ECONOMIC seasonal variations ,ACADEMIC debating ,ECONOMETRIC models ,STATISTICAL significance - Abstract
The article presents the author's comments on the spectral and cross spectral analysis of post-accord interest rates conducted by economists V. Kerry Smith and Richard G. Marcis in their article "A Time Series Analysis of Post-Accord Interest Rates," originally published in the June 1972 issue of "The Journal of Finance." The author states that the major weakness in Smith and Marcis' analysis is their failure to compute confidence intervals. Contrary to the claim made by Smith and Marcis, the analysis does not reveal any systematic lead-lag relationship between long-term and short-term interest rates.
- Published
- 1974
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