The persistence of real interest differentials: A Kalman filtering approach
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ferreira, Alex Luiz & Leon-Ledesma, Miguel A., 2007.
"Does the real interest parity hypothesis hold? Evidence for developed and emerging markets,"
Journal of International Money and Finance,
Elsevier, vol. 26(3), pages 364-382, April.
- FERREIRA Alex Luiz & LEON-LEDESMA Miguel A., "undated". "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," EcoMod2003 330700053, EcoMod.
- Alex Luiz Ferreira & Miguel León-Ledesma, 2003. "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," Studies in Economics 0301, School of Economics, University of Kent.
- Alejandro Rodriguez & Esther Ruiz, 2009.
"Bootstrap prediction intervals in state-space models,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 30(2), pages 167-178, March.
- Ruiz, Esther & Rodríguez, Alejandro, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de Estadística.
- Sirichand, Kavita & Vivian, Andrew & Wohar, Mark E., 2015.
"Examining real interest parity: Which component reverts quickest and in which regime?,"
International Review of Financial Analysis,
Elsevier, vol. 39(C), pages 72-83.
- Kavita Sirichand & Andrew Vivian & Mark E.Wohar, 2014. "Examining real interest parity: which component reverts quickest and in which regime?," Discussion Paper Series 2014_05, Department of Economics, Loughborough University, revised Jul 2014.
- Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Chan Tze Haw, 2009.
"The Real Interest Rate Differential: International Evidence Based On Non-Linear Unit Root Tests,"
Bulletin of Economic Research,
Wiley Blackwell, vol. 61(1), pages 83-94, January.
- Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chan, Tze-Haw, 2007. "The real interest rate differential: international evidence based on nonlinear unit root tests," MPRA Paper 7300, University Library of Munich, Germany.
- Dreger, Christian, 2010.
"Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?,"
EconStor Open Access Articles,
ZBW - German National Library of Economics, pages 274-285.
- Dreger, Christian, 2010. "Does the nominal exchange rate regime affect the real interest parity condition?," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 274-285, December.
- Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Discussion Papers of DIW Berlin 819, DIW Berlin, German Institute for Economic Research.
- Christian Dreger, 2010. "Does the nominal exchange rate regime affect the real interest parity condition?," FIW Working Paper series 064, FIW.
- Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS 1.1c, DIW Berlin, German Institute for Economic Research.
- Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
- Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
- Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
- Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.
- Holmes, Mark J. & Maghrebi, Nabil, 2008. "Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 958-970, October.
- Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746.
- Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
- Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, October.
- Keshab Shrestha & Kok Tan, 2005. "Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 139-157, September.
- Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
- Lahmiri, Salim, 2016. "Interest rate next-day variation prediction based on hybrid feedforward neural network, particle swarm optimization, and multiresolution techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 388-396.
- Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2010. "Does Real Interest Rate Parity Hold For Oecd Countries? New Evidence Using Panel Stationarity Tests With Cross-Section Dependence And Structural Breaks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(5), pages 568-590, November.
- Mark J. Holmes & Ping Wang, 2008. "Real Convergence and Regime-Switching Among EU Accession Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 6(1), pages 9-27.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:moneco:v:29:y:1992:i:3:p:429-443. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505566 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.