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Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect
Lanne, Markku - In: Empirical Economics 26 (2001) 2, pp. 357-366
Tests of the Fisher effect are plagued by high persistence in interest rates. Instead of standard regression analysis and asymptotic results, methods relying on local-to-unity asymptotics are employed in testing for the Fisher effect with monthly U.S. data covering the period 1953:1-1990:12....
Persistent link: https://www.econbiz.de/10005382214
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The cyclical behaviour of prices in the U.K.: Some structural time series evidence
Moosa, Imad A. - In: Empirical Economics 25 (2000) 2, pp. 261-278
The cyclical behaviour of prices in the U.K. is investigated using a sample of annual observations covering the period 1886-1993. A structural time series model relating consumer prices to output is estimated over four sub-periods. The results indicate that prices were procyclical in the...
Persistent link: https://www.econbiz.de/10005382219
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Estimation of a German money demand system - a long-run analysis
Hubrich, Kirstin - In: Empirical Economics 24 (1999) 1, pp. 77-99
, real GNP, the inflation rate, a long-term and a weighted short-term interest rate. A multivariate approach has been chosen …, as this allows for more than one cointegration relationship and to test restrictions on the cointegration space. In … contrast to most other studies on German monetary policy, three stable and economically plausible cointegration relationships …
Persistent link: https://www.econbiz.de/10005382393