Markov-Switching Mean Reversion in Short-Term Interest Rates: Evidence from East Asian Economies
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References listed on IDEAS
- Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
- Philip Lowe & Luci Ellis, 1997. "The Smoothing of Official Interest Rates," RBA Annual Conference Volume,in: Philip Lowe (ed.), Monetary Policy and Inflation Targeting Reserve Bank of Australia.
- Philip Lowe, 1997. "Introduction to Monetary Policy and Inflation Targeting," RBA Annual Conference Volume,in: Philip Lowe (ed.), Monetary Policy and Inflation Targeting Reserve Bank of Australia.
- Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chan, Wing Hong & Young, Denise, 2009. "A New Look at Copper Markets: A Regime-Switching Jump Model," Working Papers 2009-13, University of Alberta, Department of Economics.
- Ozge Kandemir Kocaaslan, 2016. "Regime Nonstationarity and Nonlinearity in the Turkish Output Level," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 503-507.
- repec:eee:intfin:v:50:y:2017:i:c:p:36-51 is not listed on IDEAS
- Cevik, Emrah Ismail & Dibooglu, Sel, 2013. "Persistence and non-linearity in US unemployment: A regime-switching approach," Economic Systems, Elsevier, vol. 37(1), pages 61-68.
- Jan Willem van den End, 2011. "Statistical evidence on the mean reversion of interest rates," DNB Working Papers 284, Netherlands Central Bank, Research Department.
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