cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the … evidence in favor of cointegration is weak over periods of high inflation. The Fisher coefficient turns out to be remarkably … relate key model parameters on economic states, as e.g. periods of higher vs. lower inflation or inflation risk. From the …

The extent to which the stock market provides a hedge to investors against inflation is examined for African stock … markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the …

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration. …

way of testing theory by studying the links between forecasts of U.S. nominal interest rates, inflation, and real …

useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main …

useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … worldwide level of interest rates received in the recent debate about the world savings and liquidity glut as one of the main …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction … last two years, can well be explained. Alongside the more traditional macroeconomic determinants like core inflation …

are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a …

the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … of the global foreign exchange market to the extent that the second most important currency in the world with the highest … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …