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Equilibrium Real Interest Rate Linkages: The United States and Japan

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  • Hutchison, Michael M.
  • Singh, Nirvikar

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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 11 (1997)
Issue (Month): 2 (June)
Pages: 208-227

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Handle: RePEc:eee:jjieco:v:11:y:1997:i:2:p:208-227

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Web page: http://www.elsevier.com/locate/inca/622903

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References

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  1. Takagi, Shinji, 1988. "Recent developments in Japan's bond and money markets," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 2(1), pages 63-91, March.
  2. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  3. Charles Engel & John H. Rogers, 1992. "Relative returns on equities in Pacific Basin countries," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Sep.
  4. Cheung, Yin-Wong & Lai, Kon S., 1993. "Long-run purchasing power parity during the recent float," Journal of International Economics, Elsevier, Elsevier, vol. 34(1-2), pages 181-192, February.
  5. Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Working Papers 2249, National Bureau of Economic Research, Inc.
  6. Jeffrey A. Frankel, 1989. "Quantifying International Capital Mobility in the 1980s," NBER Working Papers 2856, National Bureau of Economic Research, Inc.
  7. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(1), pages 53-78, January.
  8. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(1), pages 103-12, January.
  9. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(4), pages 571-581, December.
  10. Jeffrey A. Frankel, 1985. "International capital mobility and crowding-out in the U.S. economy: imperfect integration of financial markets or of goods markets?," Proceedings, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, pages 33-74.
  11. Harold L. Cole & Maurice Obstfeld, 1989. "Commodity Trade and International Risk Sharing: How Much Do Financial Markets Matter?," NBER Working Papers 3027, National Bureau of Economic Research, Inc.
  12. Charles Pigott, 1983. "Financial reform in Japan," Economic Review, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Win, pages 25-46.
  13. Menzie David Chinn and Jeffrey A. Frankel., 1993. "Financial Links around the Pacific Rim: 1982-1992," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C93-023, University of California at Berkeley.
  14. Glick, Reuven & Hutchison, Michael, 1990. "Financial liberalization in the Pacific Basin: Implications for real interest rate linkages," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 4(1), pages 36-48, March.
  15. Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 32, Federal Reserve Bank of Minneapolis.
  16. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  17. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(2), pages 370-84, April.
  18. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, American Economic Association, vol. 82(2), pages 197-202, May.
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Citations

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Cited by:
  1. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings, Econometric Society 124, Econometric Society.
  2. Philip Inyeob Ji & Jae H. Kim, 2005. "Real Interest Rate Linkages in the Pacific Basin Region," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 23/05, Monash University, Department of Econometrics and Business Statistics.
  3. Yamada, Hiroshi, 2002. "On the linkage of real interest rates between the US and Canada: some additional empirical evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 12(3), pages 279-289, July.
  4. Ji, Philip Inyeob, 2003. "Real Interest Rate Equalisation: Some Evidence from East Asian Economi es," Working Papers, University of Sydney, School of Economics 8, University of Sydney, School of Economics.
  5. Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 4(2).

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