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Modelling regime shift behaviour in Asian real interest rates

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  • Mills, Terence C.
  • Wang, Ping
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4KF1HVX-1/2/fb2a32a1ac3e20c3cec55dd75243beda
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 23 (2006)
    Issue (Month): 6 (December)
    Pages: 952-966

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    Handle: RePEc:eee:ecmode:v:23:y:2006:i:6:p:952-966

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    Web page: http://www.elsevier.com/locate/inca/30411

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
    2. Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
    3. J. Bradford De Long & Lawrence H. Summers, 1987. "Is Increased Price Flexibility Stabilizing?," NBER Working Papers 1686, National Bureau of Economic Research, Inc.
    4. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
    5. Terence Mills & Ping Wang, 2003. "Regime shifts in European real interest rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(1), pages 66-81, March.
    6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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    Cited by:
    1. Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Ron Mittelhammer, 2010. "Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies," Global Economic Review, Taylor & Francis Journals, vol. 39(4), pages 351-364.
    2. Makin, Anthony J. & Narayan, Paresh Kumar, 2008. "Have US external imbalances been determined at home or abroad?," Economic Modelling, Elsevier, vol. 25(3), pages 520-531, May.
    3. Hainaut, Donatien, 2013. "A fractal version of the Hull–White interest rate model," Economic Modelling, Elsevier, vol. 31(C), pages 323-334.
    4. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Hamzah, Nor Aishah, 2013. "Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model," Economic Modelling, Elsevier, vol. 35(C), pages 634-642.

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