A common shift in real interest rates across countries
AbstractThis paper documents common shifts in the behaviour of real interest rates across different countries following the announcement of monetary policy regime changes of US Federal Reserve procedures in October 1979. This evidence suggests that the observed, big fluctuations in real interest rates in the seventies and eighties across countries may be linked to the changes of the US monetary policy. It also emphasizes the international effects of US monetary policy on ex ante real interest rates across countries.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 9 (1999)
Issue (Month): 4 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
- McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
- Kanas, Angelos, 2008. "On real interest rate dynamics and regime switching," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2089-2098, October.
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