Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Jesus Clemente & Antonio Montañes & Marcelo Reyes, 2004. "Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries," Econometrics 0401005, University Library of Munich, Germany.
References listed on IDEAS
- Evans, Martin D D & Lewis, Karen K, 1995.
"Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?,"
Journal of Finance, American Finance Association, vol. 50(1), pages 225-253, March.
- Martin D.D. Evans & Karen K. Lewis, 1993. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Working Papers 93-06, New York University, Leonard N. Stern School of Business, Department of Economics.
- Joakim Westerlund, 2008.
"Panel cointegration tests of the Fisher effect,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
- Westerlund, J., 2006. "Panel cointegration tests of the Fisher effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Richard Clarida & Jordi Galí & Mark Gertler, 2000.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 147-180.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
- Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
- Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
- anonymous, 2001. "Monetary policy report to the Congress, July 18, 2001," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 501-527.
- Frank Atkins & Milanda Chan, 2004. "Trend breaks and the fisher hypothesis in canada and the United States," Applied Economics, Taylor & Francis Journals, vol. 36(17), pages 1907-1913.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999.
"Long memory and level shifts: Re-analyzing inflation rates,"
Empirical Economics, Springer, vol. 24(3), pages 427-449.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
- Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998. "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Luis Gil-Alana & Antonio Moreno, 2012.
"Fractional integration and structural breaks in U.S. macro dynamics,"
Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
- Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
- Garcia, Rene & Perron, Pierre, 1996.
"An Analysis of the Real Interest Rate under Regime Shifts,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
- Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
- Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche 9125, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.
- Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche 9125, Universite de Montreal, Departement de sciences economiques.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Atkins, Frank J. & Coe, Patrick J., 2002. "An ARDL bounds test of the long-run Fisher effect in the United States and Canada," Journal of Macroeconomics, Elsevier, vol. 24(2), pages 255-266, June.
- Chadha, Jagjit S & Dimsdale, Nicholas H, 1999. "A Long View of Real Rates," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 15(2), pages 17-45, Summer.
- Christopher F. Baum & John T. Barkoulas & Mustafa Caglayan, 1999.
"Persistence in International Inflation Rates,"
Southern Economic Journal, John Wiley & Sons, vol. 65(4), pages 900-913, April.
- Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics 333., Boston College Department of Economics.
- Soderlind, Paul, 2001.
"Monetary policy and the Fisher effect,"
Journal of Policy Modeling, Elsevier, vol. 23(5), pages 491-495, July.
- Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," CEPR Discussion Papers 1610, C.E.P.R. Discussion Papers.
- Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," SSE/EFI Working Paper Series in Economics and Finance 159, Stockholm School of Economics, revised 04 Mar 1999.
- Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
- Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, vol. 67(3), pages 325-330, June.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- M. Hashem Pesaran, 2015.
"Testing Weak Cross-Sectional Dependence in Large Panels,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1089-1117, December.
- Pesaran, M. Hashem, 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," IZA Discussion Papers 6432, Institute of Labor Economics (IZA).
- M. Hashem Pesaran, 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," CESifo Working Paper Series 3800, CESifo.
- Pesaran, M. H., 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics 1208, Faculty of Economics, University of Cambridge.
- Guglielmo Maria Caporale & Nikitas Pittis, 2004. "Estimator Choice and Fisher's Paradox: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 25-52.
- Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- E.Panopoulou, 2005.
"A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators,"
Economics Department Working Paper Series
n1500205, Department of Economics, National University of Ireland - Maynooth.
- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group.
- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
- repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
- Koustas, Zisimos & Serletis, Apostolos, 1999.
"On the Fisher effect,"
Journal of Monetary Economics, Elsevier, vol. 44(1), pages 105-130, August.
- Koustas, Z., Serletis, A., 1998. "On the Fisher Effect," Papers 98-09, Calgary - Department of Economics.
- Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
- Markku Lanne, 2006.
"Nonlinear dynamics of interest rate and inflation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168, December.
- Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
- Lanne, Markku, 2002. "Nonlinear dynamics of interest rate and inflation," Bank of Finland Research Discussion Papers 21/2002, Bank of Finland.
- Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, University Library of Munich, Germany.
- Rapach, David E, 2003. "International Evidence on the Long-Run Impact of Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(1), pages 23-48, February.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- M. Hashem Pesaran, 2007.
"A simple panel unit root test in the presence of cross-section dependence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
- Olekalns, N., 2001. "An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect," Department of Economics - Working Papers Series 786, The University of Melbourne.
- Gadea, Maria-Dolores & Montanes, Antonio & Reyes, Marcelo, 2004. "The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1109-1136.
- Malliaropulos, Dimitrios, 2000. "A note on nonstationarity, structural breaks, and the Fisher effect," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 695-707, May.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Markku Lanne, 2001. "Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect," Empirical Economics, Springer, vol. 26(2), pages 357-366.
- Mishkin, Frederic S., 1992.
"Is the Fisher effect for real? : A reexamination of the relationship between inflation and interest rates,"
Journal of Monetary Economics, Elsevier, vol. 30(2), pages 195-215, November.
- 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.
- Chien-Chiang Lee & Chun-Ping Chang, 2008. "Trend stationary of inflation rates: evidence from LM unit root testing with a long span of historical data," Applied Economics, Taylor & Francis Journals, vol. 40(19), pages 2523-2536.
- repec:bla:jfinan:v:43:y:1988:i:5:p:1095-1112 is not listed on IDEAS
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.
- Costantini, Mauro & Lupi, Claudio, 2007. "An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks," Economics Letters, Elsevier, vol. 95(3), pages 408-414, June.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- Rapach, David E & Wohar, Mark E, 2005. "Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 887-906, October.
- Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Li, Zheng & Zeng, Jingjing & Hensher, David A., 2023. "An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 169(C).
- Shahbaz, Muhammad & Zakaria, Muhammad & Shahzad, Syed Jawad Hussain & Mahalik, Mantu Kumar, 2018.
"The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach,"
Energy Economics, Elsevier, vol. 71(C), pages 282-301.
- Shahbaz, Muhammad & Zakaria, Muhammad & Syed, Jawad & Kumar, Mantu, 2018. "The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach," MPRA Paper 84920, University Library of Munich, Germany, revised 01 Mar 2018.
- Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
- Inês da Cunha Cabral & João Nicolau, 2022. "Inflation in the G7 and the expected time to reach the reference rate: A nonparametric approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1608-1620, April.
- Marilena Furno, 2021. "Cointegration tests at the quantiles," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1087-1100, January.
- Nepal, Rabindra & Zhao, Xiaomeng & Liu, Yang & Dong, Kangyin, 2024. "Can green finance strengthen energy resilience? The case of China," Technological Forecasting and Social Change, Elsevier, vol. 202(C).
- İsmet Göçer & Serdar Ongan, 2020. "Asymmetric Impacts of Inflation on the US Bond Rates and FED’s Pre-Emptive Policy," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(2), pages 143-157, December.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
- Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Christopher J. Neely & David E. Rapach, 2008.
"Real interest rate persistence: evidence and implications,"
Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
- Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
- Georgios P. Kouretas & Mark E. Wohar, 2012.
"The dynamics of inflation: a study of a large number of countries,"
Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
- Georgios KOURETAS & Mark E. WOHAR, 2010. "The Dynamics of Inflation: A Study of a Large Number of Countries," EcoMod2010 259600096, EcoMod.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.
- Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
- Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
- Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
- Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 140-155, February.
- Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
- Lai, Kon S., 2004. "On structural shifts and stationarity of the ex ante real interest rate," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 217-228.
- Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
- Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
- Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
- Dong-Hyeon Kim & Shu-Chin Lin & Joyce Hsieh & Yu-Bo Suen, 2018. "The Fisher Equation: A Nonlinear Panel Data Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(1), pages 162-180, January.
- O Bajo-Rubio & C Diaz-Roldan & V Esteve, 2010.
"Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007,"
Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 1-16, September.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003. "Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001," Economic Working Papers at Centro de Estudios Andaluces E2003_22, Centro de Estudios Andaluces.
- Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
- Ekaterini Panopoulou, 2005.
"A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators,"
Money Macro and Finance (MMF) Research Group Conference 2005
18, Money Macro and Finance Research Group.
- E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics Department Working Paper Series n1500205, Department of Economics, National University of Ireland - Maynooth.
- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
- Nektarios Aslanidis & Selva Demiralp, 2020. "Has the Financial Crisis affected the Real Interest Rate Dynamics in Europe?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(1), pages 1-18, April.
- Alexeev, Vitali & Maynard, Alex, 2012.
"Localized level crossing random walk test robust to the presence of structural breaks,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
- Vitali Alexeev & Alex Maynard, 2010. "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers 1001, University of Guelph, Department of Economics and Finance.
- María Dolores Gadea & Laura Mayoral, 2006.
"The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
- Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany.
- Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
- Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona School of Economics.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
More about this item
Keywords
unit roots; structural breaks; interest rates; inflation; Fisher effect;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Statistics
Access and download statisticsCorrections
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:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640. See general information about how to correct material in RePEc.
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.