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Article: Searching for the Darby effect in tax exempt and taxable interest rate data.
- Article from:
- Quarterly Journal of Business and Economics
- Article date:
- June 22, 1991
- Author:
CopyrightCOPYRIGHT 1991 University of Nebraska-Lincoln. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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Searching for the Darby Effect in Tax Exempt and Taxable Interest Rate Data
Abstract
The relationship between tax exempt and taxable interest rates during
periods of changing inflation has been used as evidence of a Darby
effect--of interest rates rising and falling more than inflation. This
paper adjusts for residual autocorrelation in the fixed intercept model
used in a previous analysis and finds that this reverses the ordinary least