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Interest rate pass-through : a nonlinear vector error-correction approach
Popiel, Michal Ksawery - 2015
This paper analyzes pass-through from money market rates to consumer retail loan and deposit rates in Canada from 1983 to 2015 using a nonlinear vector error-correction model. In contrast to empirical frameworks used in previous studies, this model permits estimation of long-run pass-through...
Persistent link: https://www.econbiz.de/10011392140
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10013314848
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The relationship between inflation and interest rates in the UK : the nonlinear ARDL approach
Gocer, Ismet; Ongan, Serdar - In: Journal of central banking theory and practice 9 (2020) 3, pp. 77-86
. This model decomposes the changes in original inflation series as two new series: increases and decreases in inflation … rates. Hence, it enables us to examine the Fisher effect in terms of increases and decreases in inflation separately. The …
Persistent link: https://www.econbiz.de/10012306785
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The Current Account-Interest Rate Relation as a Nonlinear Phenomenon
Belloc, Marianna - 2011
The current account-interest rate relationship has been extensively investigated, but always assuming that it is linear. In this paper we examine the linearity versus nonlinearity issue with reference to this relationship in 11 OECD countries, and find overwhelming evidence in favour of...
Persistent link: https://www.econbiz.de/10013125937
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Non-Linearities in the Relationship between House Prices and Interest Rates : Implications for Monetary Policy
Lim, Guay C.; Tsiaplias, Sarantis - 2016
Understanding the impact of changes in interest rates on house prices is important for managing house price bubbles and ensuring housing affordability. This paper investigates the effect of interest rates on regional house price to income measures based on a non-linear smooth transition VAR...
Persistent link: https://www.econbiz.de/10014129876
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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
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Cointegrated VARMA Models and Forecasting US Interest Rates
Kascha, Christian - 2012
We bring together some recent advances in the literature on vector autoregressive moving - average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10013113593
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …
Persistent link: https://www.econbiz.de/10012705391
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian … approach. The natural real rate and trend inflation are cornerstones determining equilibrium yields across maturities and …
Persistent link: https://www.econbiz.de/10012425011
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Testing an Augmented Fisher Hypothesis for Money Market Interest Rates in Finland
Junttila, Juha-Pekka - 1998
inflation expectations in Finland utilising a univariate time series model and a special structural change procedure in Junttila … (1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the …
Persistent link: https://www.econbiz.de/10014070202