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International real interest rate parity with error correction models

  • Byun, Jong-Cook
  • Chen, Son-Nan

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File URL: http://www.sciencedirect.com/science/article/B6W4F-45NP3GB-8/2/605f3f607606e11db2488aaab77a6dc6
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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 7 (1996)
Issue (Month): 2 ()
Pages: 129-151

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Handle: RePEc:eee:glofin:v:7:y:1996:i:2:p:129-151
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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  1. Robert E. Cumby & Frederic S. Mishkin, 1984. "The International Linkage of Real Interest Rates: The European - U.S. Connection," NBER Working Papers 1423, National Bureau of Economic Research, Inc.
  2. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  3. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
  4. 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(01), pages 47-58, March.
  5. Prachowny, Martin F J, 1970. "A Note on Interest Parity and the Supply of Arbitrage Funds," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 540-45, May-June.
  6. 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 201-12, August.
  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. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  9. 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 1057-72, June.
  10. Howard, David H & Johnson, Karen H, 1983. "The Behavior of Monetary Aggregates in Major Industrialized Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(4), pages 455-68, November.
  11. Marston, Richard C., 1976. "Interest arbitrage in the Euro-currency markets," European Economic Review, Elsevier, vol. 7(1), pages 1-13.
  12. 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 247-57, May.
  13. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  14. Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
  15. McCormick, Frank, 1979. "Covered Interest Arbitrage: Unexploited Profits? Comment," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 411-17, April.
  16. Frank McCormick, 1979. "Covered-interest arbitrage: unexploited profits: comment," International Finance Discussion Papers 132, Board of Governors of the Federal Reserve System (U.S.).
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