An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate period

Patel, Ajay; Akella, Srinivas R.

doi:10.1007/bf00245185

Cited by 4 publications

(4 citation statements)

References 34 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Goodwin and Greenes (1994) find that the real interest rate differential for Canada and the United States is stationary. Patel and Akella (1996) find evidence that supports the equality hypothesis. Shrestha (1999), using the concept of fractional integration, finds a long-run relationship between real interest rates in Canada and the United States, with Canadian real interest rates being higher than U.S. real interest rates.…”

Section: Case 1: Both Real Interest Rates Are Non-stationarysupporting

confidence: 56%

“…Furthermore, the long-run equality of real interest rates requires that the two series be cointegrated, with (1, −1) being the cointegrating vector. Goodwin and Grennes (1994) and Patel and Akella (1996) use an integer cointegration technique to test the equality hypothesis. Goodwin and Greenes (1994) find that the real interest rate differential for Canada and the United States is stationary.…”

Section: Case 1: Both Real Interest Rates Are Non-stationarymentioning

confidence: 99%

“…Some of these studies use static time series models to test the equality hypothesis, and others (Cavaglia, 1992;Chung and Crowder, 2004;Dutton, 1993;Fraser and Taylor, 1990;Gaab, Granziol and Horner, 1986;Goodwin and Grennes, 1994;Kugler and Neusser, 1993;Mark, 1985aMark, , 1985bMishkin, 1984a;Modjtahedi, 1988;Parikh, 1994;Patel and Akella, 1996;Shrestha, 1999) use dynamic time series models, including cointegration models. In this present study, a model is considered dynamic if it uses lagged series.…”

mentioning

confidence: 98%

See 2 more Smart Citations

Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Shrestha

Tan

2005

Rev Quant Finan Acc

View full text Add to dashboard Cite

In this article, long-run and short-run relationships among real interest rates in G-7 countries are empirically analyzed. The evidence suggests the existence of long-run relationships among these real interest rates. However, the long-run relationship is not an equality relationship. Short-run relationships are estimated using dynamic simultaneous equation models. They reveal that the real interest rates of non-U.S. G-7 countries react and adjust to long-run disequilibrium conditions. A more detailed analysis based on wavelet transform indicates the existence of both short-run and long-run relationships; however, strict interest rate parity does not seem to hold true. Copyright Springer Science + Business Media, Inc. 2005real interest rate parity, short-run, long-run, wavelet,

show abstract

Section: Case 1: Both Real Interest Rates Are Non-stationarysupporting

confidence: 56%

Section: Case 1: Both Real Interest Rates Are Non-stationarymentioning

confidence: 99%

mentioning

confidence: 98%

See 1 more Smart Citation

Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Shrestha

Tan

2005

Rev Quant Finan Acc

View full text Add to dashboard Cite

show abstract

“…While some of the studies indicate that real interest rates are stationary such as Garcia and Perron (1996), Clemente et al (1998), Choi and Ahn (1999), Caporale and Grier (2000), Lai (2004); the others such as Pain (1994), Patel and Akella (1996) state that the real interest rates are nonstationary.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Real and Nominal Interest Rates with Inflation for OECD Countries: Evidence from LM Unit Root Tests with Structural Breaks

İskenderoğlu¹

2011

IJEF

View full text Add to dashboard Cite

This paper investigates the stationary characteristics of computed real interest rates with nominal interest rates and inflation for 22 OECD countries. Using quarterly data over the 2000 -2010 period, LM unit root test is employed which endogenously determines up to two structural breaks in level and trend. The empirical findings suggest a combination of stationary and nonstationary results for real interest rates, nominal interest rates and inflation. Besides, the internal stationarity or nonstationary interactions of real and nominal interest rates are investigated by inflation. The results indicate that stationary nominal interest rates and inflation cause stationary real interest rates. At the same time nonstationary nominal interest rates and inflation could cause a stationary or nonstationary real interest rate with respect to cointegration. Stationary nominal interest rate and nonstationary real interest rate cause to nonstationary real interest rate while nonstationary nominal interest rate and stationary inflation could cause stationary or nonstationary real interest rate.

show abstract

An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

Costantini

Lupi

2007

Economics Letters

View full text Add to dashboard Cite

An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate period

Cited by 4 publications

References 34 publications

Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Analysis of Real and Nominal Interest Rates with Inflation for OECD Countries: Evidence from LM Unit Root Tests with Structural Breaks

An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

Contact Info

Product

Resources

About