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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

A common trends model of UK core inflation

Bagliano, Fabio C.; Morana, Claudio - In: Empirical Economics 28 (2003) 1, pp. 157-172

In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961–1997 period is estimated …). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of … inflation from a small-scale, cointegrated macroeconomic system. Copyright Springer-Verlag Berlin Heidelberg 2003 …

Persistent link: https://www.econbiz.de/10005613034

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

A money demand system for German M3

Wolters, JØrgen; LØtkepohl, Helmut - In: Empirical Economics 23 (1998) 3, pp. 371-386

model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money …. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money … growth and inflation by means of an impulse response analysis. …

Persistent link: https://www.econbiz.de/10005758323

A monetary vector error correction model of the Euro area and implications for monetary policy

Holtemöller, Oliver - In: Empirical Economics 29 (2004) 3, pp. 553-574

-term interest rate with three identified cointegration relations is specified. It is shown that Euro area money and prices can be …

Persistent link: https://www.econbiz.de/10005758287