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An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

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  • Costantini, Mauro
  • Lupi, Claudio

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File URL: http://www.sciencedirect.com/science/article/B6V84-4N3X0G1-S/2/6fc70e9e053013b908e21dd0540e9104
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 95 (2007)
Issue (Month): 3 (June)
Pages: 408-414

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Handle: RePEc:eee:ecolet:v:95:y:2007:i:3:p:408-414

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  2. Strauss, Jack & Yigit, Taner, 2003. "Shortfalls of panel unit root testing," Economics Letters, Elsevier, vol. 81(3), pages 309-313, December.
  3. 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.
  4. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
  5. Chang, Yoosoon, 2002. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-01, Rice University, Department of Economics.
  6. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  7. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May.
  8. Culver, Sarah E & Papell, David H, 1997. "Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 435-44, July-Aug..
  9. Patel, Ajay & Akella, Srinivas R, 1996. " An Examination of Real Interest Rates in the United States, Canada, France, and Germany during the Recent Floating Exchange Rate Period," Review of Quantitative Finance and Accounting, Springer, vol. 6(3), pages 277-92, May.
  10. Crowder, William J., 1996. "The international convergence of inflation rates during fixed and floating exchange rate regimes," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 551-575, August.
  11. Rapach, David E & Wohar, Mark E, 2005. "Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 887-906, October.
  12. Carl E. Walsh, 1987. "Three questions concerning nominal and real interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 5-19.
  13. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
  14. Christian Dreger & Christian Schumacher, 2003. "Are Real Interest Rates Cointegrated? Further evidence based on paneleconometric methods," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 41-53, March.
  15. Crowder, William J & Hoffman, Dennis L, 1996. "The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 102-18, February.
  16. Nigel Pain, . "Monetary policy changes and unit root statistics," NIESR Discussion Papers 14, National Institute of Economic and Social Research.
  17. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  18. Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
  19. Caporale, Tony & Grier, Kevin B, 2000. "Political Regime Change and the Real Interest Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 320-34, August.
  20. David E. Rapach & Mark E. Wohar, 2004. "The persistence in international real interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 339-346.
  21. Choi, Seungmook, 1994. "Is the Real Interest Rate Really Unstable?," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(4), pages 551-59, Winter.
  22. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  23. Malliaropulos, Dimitrios, 2000. "A note on nonstationarity, structural breaks, and the Fisher effect," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 695-707, May.
  24. Lai, Kon S., 2004. "On structural shifts and stationarity of the ex ante real interest rate," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 217-228.
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Cited by:
  1. Costantini, Mauro & Gutierrez, Luciano, 2012. "Bootstrap innovational outlier unit root tests in dependent panels," Economics Letters, Elsevier, vol. 117(3), pages 817-819.
  2. Ronkainen , Vesa, 2012. "Stochastic modeling of financing longevity risk in pension insurance," Scientific Monographs E:44/2012, Bank of Finland.

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