first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …