This study examines the relationship between interest rates and inflation rates for ten countries during the period 1974-1995. Monthly end-of-month Euro-deposit rates and inflation rates are used, spanning a spectrum of maturity dates ranging from one month to one year. The recent cointegration...

This paper examines the restrictions required for real interest rate parity to hold. Employing the multivariate cointegration procedure, allowances are made for exogenous events (such as oil price shocks and currency realignments within the EMS) which may have disturbed any underlying long-run...

Relying on Clive Granger's many and varied contributions to econometric analysis, this paper considers some of the key econometric considerations involved in estimating Taylor type rules for US data. We focus on the roles of unit roots, cointegration, structural breaks, and non-linearities to...

We examine the relationship between interest rates and inflation rates for ten countries during the period 1974- 1995. We find evidence of a unique cointegrating relationship between nominal interest rates of EMS countries, the U.S. and Canada, and the U.S., Germany, and Japan. No similar...

This paper surveys three types of monetary arrangements. It considers how the choice of an exchange rate regime, the degree of central bank independence, or choice of currency unions or boards depends not only on economic considerations but also on political economy considerations. In economic...

This paper compares Hungary’s experience with sterilization with that of other capital inflow episodes. The study focuses on the short-run impact of sterilization on monetary policy. The empirical data indicate that sterilized interventions by the National Bank of Hungary (NBH) were not...