Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/240634 
Year of Publication: 
2021
Series/Report no.: 
wiiw Working Paper No. 191
Publisher: 
The Vienna Institute for International Economic Studies (wiiw), Vienna
Abstract: 
This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate theories of Keynes and Kalecki. While Keynes stated that the future of the rate of interest is uncertain because it is numerically incalculable, Kalecki was convinced that it could be predicted. The theories are empirically tested using a reduced-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the long-term rate of interest is a nonergodic financial phenomenon. Analyses of the relation between the interest rate and macroeconomic variables without interest uncertainty are thus seriously incomplete.
Subjects: 
uncertainty
interest rate
Keynes
Kalecki
GARCH
JEL: 
B26
C58
E43
E47
Document Type: 
Working Paper

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