, recursive estimation methods. Using data between 2002 and 2014, we find limited evidence that QE1 caused a breakup or a …

for low inflation. Using data for four G7 economies, the paper shows that, except for Germany, nonlinear and asymmetric …

for low inflation. Using data for four G7 economies, the paper shows that, except for Germany, nonlinear and asymmetric …

, pointing to the importance of applying a time-varying estimation framework. Second, the interest rate smoothing parameter is …

, pointing to the importance of applying a time-varying estimation framework. Second, the interest rate smoothing parameter is …

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 …