Is there a nonlinear long-run relation in the U.S. interest rate and inflation?
AbstractRecent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also provide simulation results regarding the performance of the rank tests for some plausible nonlinear models for the data.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 33 (2013)
Issue (Month): 1 ()
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(Nonlinear) cointegration; Rank tests; Interest rate; Inflation;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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Cowles Foundation Discussion Papers
1657, Cowles Foundation for Research in Economics, Yale University.
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