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Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …
Persistent link: https://www.econbiz.de/10011654595
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Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …
Persistent link: https://www.econbiz.de/10011654734
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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative … adequate penalty for the complexity of candidate models. -- threshold cointegration ; parametric bootstrap ; model averaging …
Persistent link: https://www.econbiz.de/10009735355
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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
Persistent link: https://www.econbiz.de/10003778880
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Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations : evidence from Nigeria
Uyaebo, Stephen O. U.; Bello, Yakubu A.; Omotosho, … - In: CBN journal of applied statistics 7 (2016) 1, pp. 333-358
Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …
Persistent link: https://www.econbiz.de/10011529383
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A Kalman filter approach to Fisher effect : evidence from Nigeria
Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN journal of applied statistics 2 (2011) 1, pp. 71-91
interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …
Persistent link: https://www.econbiz.de/10011477662
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Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change : A Comparison of Models with Time-Varying Parameters
Barnett, Alina - 2012
Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...
Persistent link: https://www.econbiz.de/10013106251
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273
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Unemployment and inflation regimes
Vredin, Anders; Warne, Anders - 2000
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. We find that...
Persistent link: https://www.econbiz.de/10011584800
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Are bond markets really overpriced : the case of the US
Clostermann, Jörg; Seitz, Franz - 2005
empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …
Persistent link: https://www.econbiz.de/10012002995