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International real interest rate parity with error correction models

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  • Byun, Jong-Cook
  • Chen, Son-Nan

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  • Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
    • Handle: RePEc:eee:glofin:v:7:y:1996:i:2:p:129-151
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    1. Flood, Robert P., 1981. "Explanations of exchange-rate volatility and other empirical regularities in some popular models of the foreign exchange market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 15(1), pages 219-249, January.
    2. Rogoff, Kenneth, 1985. "Can exchange rate predictability be achieved without monetary convergence? : Evidence from the EMS," European Economic Review, Elsevier, vol. 28(1-2), pages 93-115.
    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    4. Cumby, Robert E. & Mishkin, Frederic S., 1986. "The international linkage of real interest rates: The European-US connection," Journal of International Money and Finance, Elsevier, vol. 5(1), pages 5-23, March.
    5. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    6. McCormick, Frank, 1979. "Covered Interest Arbitrage: Unexploited Profits? Comment," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 411-417, April.
    7. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    8. Titman, Sheridan & Warga, Arthur, 1989. "Stock Returns as Predictors of Interest Rates and Inflation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 47-58, March.
    9. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-338, April.
    10. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-212, August.
    11. Frank McCormick, 1979. "Covered-interest arbitrage: unexploited profits: comment," International Finance Discussion Papers 132, Board of Governors of the Federal Reserve System (U.S.).
    12. Nelson, Charles R & Schwert, G William, 1977. "Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant," American Economic Review, American Economic Association, vol. 67(3), pages 478-486, June.
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    15. Marston, Richard C., 1976. "Interest arbitrage in the Euro-currency markets," European Economic Review, Elsevier, vol. 7(1), pages 1-13.
    16. Long, John Jr., 1974. "Stock prices, inflation, and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 1(2), pages 131-170, July.
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    21. Officer, Lawrence H & Willett, Thomas D, 1970. "The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 2(2), pages 247-257, May.
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    2. Nazlioglu, Saban & Kucukkaplan, Ilhan & Kilic, Emre & Altuntas, Mehmet, 2022. "Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence," Research in International Business and Finance, Elsevier, vol. 62(C).

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