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Modelling regime shift behaviour in Asian real interest rates

  • Mills, Terence C.
  • Wang, Ping
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4KF1HVX-1/2/fb2a32a1ac3e20c3cec55dd75243beda
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 23 (2006)
    Issue (Month): 6 (December)
    Pages: 952-966

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    Handle: RePEc:eee:ecmode:v:23:y:2006:i:6:p:952-966
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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    1. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-25, February.
    2. J. Bradford De Long & Lawrence H. Summers, 1985. "Is Increased Price Flexibility Stabilizing?," NBER Working Papers 1686, National Bureau of Economic Research, Inc.
    3. Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
    4. Terence Mills & Ping Wang, 2003. "Regime shifts in European real interest rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(1), pages 66-81, March.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    6. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June.
    7. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
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