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The persistence of real interest differentials: A Kalman filtering approach

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Author Info
Cavaglia, Stefano
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 29 (1992)
Issue (Month): 3 (June)
Pages: 429-443
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Handle: RePEc:eee:moneco:v:29:y:1992:i:3:p:429-443

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Web page: http://www.elsevier.com/locate/inca/505566

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  1. Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chan, Tze-Haw, 2007. "The real interest rate differential: international evidence based on nonlinear unit root tests," MPRA Paper 7300, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  2. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262. [Downloadable!]
  3. Alejandro Rodriguez & Esther Ruiz, 2008. "Bootstrap prediction intervals in State Space models," Statistics and Econometrics Working Papers ws081104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  4. Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS 1.1c, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  5. Keshab Shrestha & Kok Tan, 2005. "Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 139-157, September. [Downloadable!] (restricted)
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