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Common trends and common cycles among interest rates on the G7-countries
Lindenberg, Nannette; Westermann, Frank - In: Journal of macroeconomics 34 (2012) 4, pp. 1125-1140
Persistent link: https://www.econbiz.de/10009703299
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette; Westermann, Frank - Institut für Empirische Wirtschaftsforschung, … - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …
Persistent link: https://www.econbiz.de/10008739190
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette; Westermann, Frank - CESifo - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …
Persistent link: https://www.econbiz.de/10005405925
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - In: Journal of Macroeconomics 34 (2012) 4, pp. 1125-1140
short-run comovements in the G7-countries by conducting tests for cointegration, common serial correlation and codependence … renewed interest in the cyclical and long-run comovement of interest rates. In this paper we re-investigate the long- and … evidence for codependence of higher order is found in the pre-Euro area sample, common cycles appear to exist only in rare …
Persistent link: https://www.econbiz.de/10010595242
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
; comovement ; cointegration ; serial correlation common feature ; codependence … operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 …
Persistent link: https://www.econbiz.de/10003807777
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
; comovement ; cointegration ; serial correlation common feature ; code-pendence … operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 …
Persistent link: https://www.econbiz.de/10009660985
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
Persistent link: https://www.econbiz.de/10003799329
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 … of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European …
Persistent link: https://www.econbiz.de/10010289307
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Structural breaks, inflation and interest rates : evidence from the G7 countries
Clemente, Jesús; Gadea, María Dolores; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-17
This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai–Perron procedure to show the...
Persistent link: https://www.econbiz.de/10011654168
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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