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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619627
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: International economics : a journal published by CEPII … 152 (2017), pp. 116-123
Persistent link: https://www.econbiz.de/10011802433
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China's interest rate pass-through after the interest rate liberalization : evidence from a nonlinear autoregressive distributed lag model
Li, Xiao-Lin; Si, Dengkui; Ge, Xinyu - In: International review of economics & finance : IREF 73 (2021), pp. 257-274
Persistent link: https://www.econbiz.de/10012692235
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Threshold cointegration and interest rate pass-through during pre- and post-banking consolidation in Nigeria : are there asymmetries?
Alhaji Jibrilla, Aliyu; Ismail, Normaz Wana - In: International journal of banking, accounting and finance 7 (2016) 2, pp. 172-193
Persistent link: https://www.econbiz.de/10011688315
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Liquidity and monetary transmission : a quasi-experimental approach
Miller, Sam; Wanengkirtyo, Boromeus - 2020
Persistent link: https://www.econbiz.de/10012597835
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The pass-through of market interest rates to bank interest rates
Mayordomo, Sergio; Roibás, Irene - 2023
Persistent link: https://www.econbiz.de/10014381641
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - 2015
Persistent link: https://www.econbiz.de/10011305234
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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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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - In: Journal of banking & finance 79 (2017), pp. 74-94
Persistent link: https://www.econbiz.de/10011815138
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Changes in persistence, spurious regressions and the Fisher hypothesis
Kruse, Robinson; Ventosa-Santaulària, Daniel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011708765