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Citations for "Are real interest rates really nonstationary? New evidence from tests with good size and power"

by Rapach, David E. & Weber, Christian E.

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  1. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.
  2. Chang, Chih Kai, 2012. "Mean Reversion of Real Interest Rates in G-20: Panel Kss Test by Spsm with a Fourier Function," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 58-68, September.
  3. Alagidede, Paul & Panagiotidis, Theodore, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, Elsevier, vol. 19(3), pages 91-100, August.
  4. McNown, Robert & Seip, Knut Lehre, 2011. "Periods and structural breaks in US economic history 1959-2007," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 169-182, March.
  5. Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series 2532, CESifo Group Munich.
  6. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
  7. Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
  8. Menelaos Karananos & S.H Sekioua & N Zeng, 2005. "On the order of integration of monthly US ex-ante and ex-post real interest rates new evidence from over a century of data," Money Macro and Finance (MMF) Research Group Conference 2005 21, Money Macro and Finance Research Group.
  9. Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series 0979, European Central Bank.
  10. Cheng, Shu-Ching & Wu, Tsung-pao & Lee, Kuei-Chiu & Chang, Tsangyao, 2014. "Flexible Fourier unit root test of unemployment for PIIGS countries," Economic Modelling, Elsevier, vol. 36(C), pages 142-148.
  11. repec:ipg:wpaper:2013-035 is not listed on IDEAS
  12. Andros Gregoriou & Alexandros Kontonikas, "undated". "The Long Run Relationship Between Stock Prices And Goods Prices: New Evidence From Panel Cointegration," Working Papers 2008_19, Business School - Economics, University of Glasgow.
  13. Hassan Ghassan & Prashanta Banerjee, 2015. "A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices," Empirical Economics, Springer, vol. 49(1), pages 305-323, August.
  14. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers 06-01, Economics and Finance Section, School of Social Sciences, Brunel University.
  15. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  16. Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
  17. Holmes, Mark J. & Dutu, Richard & Cui, Xiaoman, 2009. "Real interest rates, inflation and the open economy: A regime-switching perspective on Australia and New Zealand," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 351-360, March.
  18. Casalin, Fabrizio, 2013. "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3192-3203.
  19. Frederick H Wallace, 2012. "Testing for a nonlinear Fisher relationship," Economics Bulletin, AccessEcon, vol. 32(1), pages 823-829.
  20. Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
  21. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2015. "Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices," MPRA Paper 69962, University Library of Munich, Germany, revised 15 Jan 2016.
  22. G. Everaert, 2012. "A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/782, Ghent University, Faculty of Economics and Business Administration.
  23. Nesmith Travis D & Jones Barry E, 2008. "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
  24. Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Money Macro and Finance (MMF) Research Group Conference 2006 65, Money Macro and Finance Research Group.
  25. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June.
  26. Ghassan, Hassan B., 2007. "La condition de Marshall-Lerner-Robinson est-elle stable ? Approche par le test GLS cointégration à niveau et puissance améliorés
    [Does the Marshall-Lerner-Robinson condition verify the stability?
    ," MPRA Paper 56354, University Library of Munich, Germany, revised 15 Jan 2008.
  27. 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.
  28. repec:ebl:ecbull:v:3:y:2005:i:9:p:1-8 is not listed on IDEAS
  29. C C Tsong & A Hachicha, 2014. "Revisiting the Fisher Hypothesis for Several Selected Developing Economies: a Quantile Cointegration Approach," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 57-72, March.
  30. Brückner, Markus & Gerling, Kerstin & Grüner, Hans Peter, 2007. "Wealth Inequality and Credit Markets: Evidence from Three Industrialized Countries," CEPR Discussion Papers 6485, C.E.P.R. Discussion Papers.
  31. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011. "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 668-680.
  32. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2013. "Quantile cointegration analysis of the Fisher hypothesis," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 186-198.
  33. Daiki Maki, 2005. "Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate," Economics Bulletin, AccessEcon, vol. 3(9), pages 1-8.
  34. Million, N., 2008. "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d.intérêt réel américain," Working papers 201, Banque de France.
  35. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
  36. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers.
  37. Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
  38. de Jong, Pieter J. & Swanson, Peggy E., 2006. "The Euro deposit market in a global perspective," Global Finance Journal, Elsevier, vol. 16(3), pages 354-365, March.
  39. Chang, Tsangyao & Ranjbar, Omid & Tang, D.P., 2013. "Revisiting the mean reversion of inflation rates for 22 OECD countries," Economic Modelling, Elsevier, vol. 30(C), pages 245-252.
  40. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
  41. repec:ipg:wpaper:35 is not listed on IDEAS
  42. Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers 2013-35, Department of Research, Ipag Business School.
  43. repec:onb:oenbwp:y::i:118:b:1 is not listed on IDEAS
  44. Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.
  45. Claude Lopez & Javier Reyes, 2009. "Stationary properties of the real interest rate and the per-capita consumption growth rate: empirical evidence for theoretical arguments," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1643-1651.
  46. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3), pages -.
  47. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 627-631.
  48. Reginaldo Pinto Nogueira, 2009. "Is monetary policy really neutral in the long-run? Evidence for some emerging and developed economies," Economics Bulletin, AccessEcon, vol. 29(3), pages 2432-2437.
  49. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
  50. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009,07, Christian-Albrechts-University of Kiel, Department of Economics.
  51. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
  52. Lee, Cheng-Feng & Tsong, Ching-Chuan, 2009. "Bootstrapping covariate stationarity tests for inflation rates," Economic Modelling, Elsevier, vol. 26(6), pages 1443-1448, November.
  53. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006,04, Christian-Albrechts-University of Kiel, Department of Economics.
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