Grüner, Hans Peter (contributor); Hayo, Bernd (contributor) - 2005
of the expected interest rate as a proxy for monetary
uncertainty. Our theoretical model instead uses the variance of … assume that the stance of monetary policy can be proxied by a short-term
interest rate (see Borio, 1997). As a framework for … results of the cointegration analysis for the two interest rate variables using the reduced-
rank method proposed by Johansen …