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Testing the stationarity of interest rates using a SUR approach

  • Balz, Christoph
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3TMPPJY-3/2/242d64dea0c68d76ca3160a9b4739cd4
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 60 (1998)
    Issue (Month): 2 (August)
    Pages: 147-150

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    Handle: RePEc:eee:ecolet:v:60:y:1998:i:2:p:147-150
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-88, October.
    2. Danny Quah, 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," FMG Discussion Papers dp171, Financial Markets Group.
    3. Carsten-Patrick Meier, 1997. "Assessing convergence to purchasing power parity: A panel study for ten OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(2), pages 297-312, 06.
    4. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
    5. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
    6. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
    7. Frederic S. Mishkin, 1991. "Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates," NBER Working Papers 3632, National Bureau of Economic Research, Inc.
    8. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
    9. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
    10. Meier, Carsten-Patrick, 1997. "Assessing convergence to purchasing power parity : a panel study for ten OECD countries," Open Access Publications from Kiel Institute for the World Economy 1719, Kiel Institute for the World Economy (IfW).
    11. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
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