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Some key empirical determinants of short-term nominal interest rates

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  • Yash P. Mehra

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  • Yash P. Mehra, 1995. "Some key empirical determinants of short-term nominal interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 33-51.
  • Handle: RePEc:fip:fedreq:y:1995:i:sum:p:33-51
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    File URL: http://www.richmondfed.org/publications/research/economic_quarterly/1995/summer/pdf/mehra.pdf
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    References listed on IDEAS

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    1. Joshua N. Feinman & Richard D. Porter, 1992. "The continuing weakness in the M2," Finance and Economics Discussion Series 209, Board of Governors of the Federal Reserve System (U.S.).
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 239-253.
    5. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    8. Thomas J. Sargent, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, Oxford University Press, vol. 83(1), pages 127-140.
    9. Peek, Joe & Wilcox, James A, 1987. "Monetary Policy Regimes and the Reduced Form for Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 273-291, August.
    10. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826 Elsevier.
    11. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
    12. Yash P. Mehra, 1994. "An error-correction model of the long-term bond rate," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-68.
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    Cited by:

    1. Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009. "Explaining the US bond yield conundrum," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 539-550.
    2. Robert G. King & Mark W. Watson, 1997. "Testing long-run neutrality," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101.
    3. Asamoah, Lawrence Adu, 2016. "Fiscal Policy and Lending Rate Nexus in Ghana," MPRA Paper 80209, University Library of Munich, Germany.

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    Keywords

    Interest rates;

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