메뉴 건너뛰기




Volumn 43, Issue 2, 1996, Pages 177-191

Some evidence on mean reversion in ex ante real interest rates

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0000083297     PISSN: 00369292     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9485.1996.tb00672.x     Document Type: Article
Times cited : (22)

References (48)
  • 1
    • 38249007076 scopus 로고
    • Purchasing power parity during the 1920s
    • ARDENI, P. G. and LUBIAN, D. (1989). Purchasing power parity during the 1920s. Economics Letters, 30, pp. 357-62.
    • (1989) Economics Letters , vol.30 , pp. 357-362
    • Ardeni, P.G.1    Lubian, D.2
  • 2
    • 0000315099 scopus 로고
    • Is there trend reversion in purchasing power parity?
    • ARDENI, P. G. and LUBIAN, D. (1991). Is there trend reversion in purchasing power parity? European Economic Review, 35, pp. 1035-55.
    • (1991) European Economic Review , vol.35 , pp. 1035-1055
    • Ardeni, P.G.1    Lubian, D.2
  • 4
    • 84963255779 scopus 로고
    • Correct cointegration tests of the long-run relationship between nominal interest and inflation
    • BONHAM, C. S. (1991). Correct cointegration tests of the long-run relationship between nominal interest and inflation. Applied Economics, 23, pp. 1487-92.
    • (1991) Applied Economics , vol.23 , pp. 1487-1492
    • Bonham, C.S.1
  • 5
    • 84945595789 scopus 로고
    • Distribution of residual autocorrelation in autoregressive integrated moving average time series models
    • BOX, G. E. P. and PIERCE, D. A. (1970). Distribution of residual autocorrelation in autoregressive integrated moving average time series models. Journal of the American Statistical Association, 65, pp. 1509-1526.
    • (1970) Journal of the American Statistical Association , vol.65 , pp. 1509-1526
    • Box, G.E.P.1    Pierce, D.A.2
  • 6
    • 38249015514 scopus 로고
    • The persistence of real interest differentials: A Kalman filtering approach
    • CAVAGLIA, S. (1992). The persistence of real interest differentials: a Kalman filtering approach. Journal of Monetary Economics, 29, pp. 429-43.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 429-443
    • Cavaglia, S.1
  • 7
    • 0012462762 scopus 로고
    • Short-term interest rates as predictors of inflation revisited: A signal extraction approach
    • CHEUNG, K. Y. (1993). Short-term interest rates as predictors of inflation revisited: a signal extraction approach. Applied Financial Economics, 3, pp. 113-18.
    • (1993) Applied Financial Economics , vol.3 , pp. 113-118
    • Cheung, K.Y.1
  • 8
    • 0000209283 scopus 로고
    • How big is the unit root component of GNP?
    • COCHRANE, J. (1988). How big is the unit root component of GNP? Journal of Political Economy, 96, pp. 893-920.
    • (1988) Journal of Political Economy , vol.96 , pp. 893-920
    • Cochrane, J.1
  • 9
    • 0001912746 scopus 로고
    • The international linkage of real interest rates: The European-US connection
    • CUMBY, R. E. and MISHKIN, F. S. (1986). The international linkage of real interest rates: the European-US connection. Journal of International Money and Finance, 5, pp. 5-23.
    • (1986) Journal of International Money and Finance , vol.5 , pp. 5-23
    • Cumby, R.E.1    Mishkin, F.S.2
  • 10
    • 0003337448 scopus 로고
    • International interest rate and price level linkages under flexible exchange rates: A review of recent evidence
    • J. F. O. Bilson, and R. Marston, (eds) Chicago University Press
    • CUMBY, R. E. and OBSTFELD, M. (1984). International interest rate and price level linkages under flexible exchange rates: a review of recent evidence. In J. F. O. Bilson, and R. Marston, (eds) Exchange Rate Theory and Practice. Chicago University Press.
    • (1984) Exchange Rate Theory and Practice
    • Cumby, R.E.1    Obstfeld, M.2
  • 11
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • DICKEY, D. A. and FULLER, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, pp. 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 12
    • 0000472488 scopus 로고
    • Likelihood statistics for autoregressive time series with a unit root
    • DICKEY, D. A. and FULLER, W. A. (1981). Likelihood statistics for autoregressive time series with a unit root. Econometrica, 49, pp. 1057-72.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0040328024 scopus 로고
    • Hypothesis testing with near unit roots: The case of long-run purchasing power parity
    • July/ August
    • DUEKER, M. J. (1993). Hypothesis testing with near unit roots: the case of long-run purchasing power parity. Federal Reserve Bank of St Louis Economic Review, July/ August, pp. 37-48.
    • (1993) Federal Reserve Bank of St Louis Economic Review , pp. 37-48
    • Dueker, M.J.1
  • 14
    • 0001270892 scopus 로고
    • Short term rates as predictors of inflation
    • FAMA, E. F. (1975). Short term rates as predictors of inflation. American Economic Review, 65, pp. 269-82.
    • (1975) American Economic Review , vol.65 , pp. 269-282
    • Fama, E.F.1
  • 15
    • 0010914826 scopus 로고
    • Interest rates and inflation: The message in the entrails
    • FAMA, E. F. (1977). Interest rates and inflation: the message in the entrails. American Economic Review, 67, pp. 487-496.
    • (1977) American Economic Review , vol.67 , pp. 487-496
    • Fama, E.F.1
  • 16
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • FAMA, E. F. and BLISS, R. R. (1987). The information in long-maturity forward rates. American Economic Review, 77, pp. 680-692.
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.F.1    Bliss, R.R.2
  • 17
    • 84936823605 scopus 로고
    • Permanent and transitory components of stock prices
    • FAMA, E. F. and FRENCH, K. R. (1988). Permanent and transitory components of stock prices. Journal of Political Economy, 96, pp. 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 18
    • 84990172291 scopus 로고
    • Domestic saving and international capital flows
    • FELDSTEIN, M. and HORIOKA, C. (1980). Domestic saving and international capital flows, Economic Journal, 90, pp. 314-329.
    • (1980) Economic Journal , vol.90 , pp. 314-329
    • Feldstein, M.1    Horioka, C.2
  • 19
    • 45449122327 scopus 로고
    • Political vs currency premia in international real interest differentials
    • FRANKEL, J. A. and MACARTHUR, A. T. (1988). Political vs currency premia in international real interest differentials. European Economic Review, 32, pp. 1083-1121.
    • (1988) European Economic Review , vol.32 , pp. 1083-1121
    • Frankel, J.A.1    Macarthur, A.T.2
  • 20
    • 84963421243 scopus 로고
    • Some efficient tests of international real interest rate parity
    • FRASER, P. and TAYLOR, M. P. (1990). Some efficient tests of international real interest rate parity. Applied Economics, 22, pp. 1083-92.
    • (1990) Applied Economics , vol.22 , pp. 1083-1092
    • Fraser, P.1    Taylor, M.P.2
  • 22
    • 0040461479 scopus 로고
    • On some international parity conditions: An empirical investigation
    • GAAB, W., GRANZIOL, M. J. and HORNER, M. (1986). On some international parity conditions: an empirical investigation. European Economic Review, 30, pp. 683-713.
    • (1986) European Economic Review , vol.30 , pp. 683-713
    • Gaab, W.1    Granziol, M.J.2    Horner, M.3
  • 23
    • 0001175451 scopus 로고
    • Time variation in the relationship between inflation and interest rates
    • GARBADE, K. and WACHTEL, P. (1978). Time variation in the relationship between inflation and interest rates. Journal of Monetary Economics, 4, pp. 755-65.
    • (1978) Journal of Monetary Economics , vol.4 , pp. 755-765
    • Garbade, K.1    Wachtel, P.2
  • 24
    • 0007839634 scopus 로고
    • Interest rates and inflationary expectations: New evidence
    • GIBSON, W. E. (1972). Interest rates and inflationary expectations: new evidence. American Economic Review, 62, pp. 834-65.
    • (1972) American Economic Review , vol.62 , pp. 834-865
    • Gibson, W.E.1
  • 25
    • 38149145769 scopus 로고
    • Real interest rate equalisation and the integration of international financial markets
    • GOODWIN, B. K. and GRENNES, T. J. (1994). Real interest rate equalisation and the integration of international financial markets. Journal of International Money and Finance, 13, pp. 107-24.
    • (1994) Journal of International Money and Finance , vol.13 , pp. 107-124
    • Goodwin, B.K.1    Grennes, T.J.2
  • 26
    • 0000565692 scopus 로고
    • Does the flexible exchange rate follow a random walk?: A Monte Carlo study of four tests for random walk
    • HAKKIO, C. S. (1986). Does the flexible exchange rate follow a random walk?: a Monte Carlo study of four tests for random walk. Journal of International Money and Finance, 4, pp. 221-29.
    • (1986) Journal of International Money and Finance , vol.4 , pp. 221-229
    • Hakkio, C.S.1
  • 27
    • 33847497465 scopus 로고
    • Capital asset prices versus time series models as predictors of inflation: The expected real rate of interest and market efficiency
    • HESS, P. J. and BICKSLER, J. L. (1975). Capital asset prices versus time series models as predictors of inflation: the expected real rate of interest and market efficiency. Journal of Financial Economics, 2, pp. 341-60.
    • (1975) Journal of Financial Economics , vol.2 , pp. 341-360
    • Hess, P.J.1    Bicksler, J.L.2
  • 28
    • 0003519752 scopus 로고
    • Discussion Paper, No. 3831, Department of Economics, University of California at San Diego
    • KAMINSKY, G. (1987). The real exchange rate in the short and in the long run. Discussion Paper, No. 3831, Department of Economics, University of California at San Diego.
    • (1987) The Real Exchange Rate in the Short and in the Long Run
    • Kaminsky, G.1
  • 29
    • 0004781212 scopus 로고
    • A model for ex ante real interest rates and derived inflation forecasts
    • KINAL, T. and LAHIRI, K. (1988). A model for ex ante real interest rates and derived inflation forecasts. Journal of the American Statistical Association, 83, pp. 665-73.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 665-673
    • Kinal, T.1    Lahiri, K.2
  • 30
    • 0017846358 scopus 로고
    • On the measure of lack of fit in time series models
    • LJUNG, C. M. and BOX, G. E. P. (1978). On the measure of lack of fit in time series models. Biometrika, 65, pp. 297-303.
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, C.M.1    Box, G.E.P.2
  • 31
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples: A Monte Carlo investigation
    • LO, A. W. and MACKINLAY, A. C. (1989). The size and power of the variance ratio test in finite samples: a Monte Carlo investigation. Journal of Econometrics, 40, pp. 203-238.
    • (1989) Journal of Econometrics , vol.40 , pp. 203-238
    • Lo, A.W.1    Mackinlay, A.C.2
  • 32
    • 0001017878 scopus 로고
    • Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques
    • MACDONALD, R., and MURPHY, P. D. (1989). Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques. Applied Economics, 21, pp. 439-47.
    • (1989) Applied Economics , vol.21 , pp. 439-447
    • Macdonald, R.1    Murphy, P.D.2
  • 33
    • 38249017583 scopus 로고
    • How big is the random walks in macroeconomic time series: Variance ratio tests
    • MALLIARIS, A. G. and URRUTIA, J. L. (1990). How big is the random walks in macroeconomic time series: variance ratio tests. Economics Letters, 34, pp. 113-16.
    • (1990) Economics Letters , vol.34 , pp. 113-116
    • Malliaris, A.G.1    Urrutia, J.L.2
  • 34
    • 0001537079 scopus 로고
    • Some evidence on the international inequality of real interest rates
    • MARK, N. C. (1985). Some evidence on the international inequality of real interest rates. Journal of International Money and Finance, 4, pp. 189, 208.
    • (1985) Journal of International Money and Finance , vol.4 , pp. 189
    • Mark, N.C.1
  • 36
    • 0001337441 scopus 로고
    • The real interest rate: A multi-country empirical study
    • MISHKIN, F. S. (1984a). The real interest rate: a multi-country empirical study. Canadian Journal of Economics, 17, pp. 283-311.
    • (1984) Canadian Journal of Economics , vol.17 , pp. 283-311
    • Mishkin, F.S.1
  • 37
    • 0037685822 scopus 로고
    • Are real interest rates equal across countries? An empirical investigation of international parity conditions
    • MISHKIN, F. S. (1984b). Are real interest rates equal across countries? An empirical investigation of international parity conditions. Journal of Finance, 39, pp. 1345-57.
    • (1984) Journal of Finance , vol.39 , pp. 1345-1357
    • Mishkin, F.S.1
  • 38
    • 0001528203 scopus 로고
    • Short-term interest rates as predictors of inflation: On testing the hypothesis that the real rate of interest is constant
    • NELSON, C. R. and SCHWERT, G. W. (1977). Short-term interest rates as predictors of inflation: on testing the hypothesis that the real rate of interest is constant. American Economic Review, 67, pp. 478-486.
    • (1977) American Economic Review , vol.67 , pp. 478-486
    • Nelson, C.R.1    Schwert, G.W.2
  • 39
    • 0039267466 scopus 로고
    • Cointegration analysis of the Fisher hypothesis: The role of the real rate and the Fisher identity
    • OWEN, P. D. (1993). Cointegration analysis of the Fisher hypothesis: the role of the real rate and the Fisher identity. Applied Financial Economics, 3, pp. 21-26.
    • (1993) Applied Financial Economics , vol.3 , pp. 21-26
    • Owen, P.D.1
  • 40
    • 84986414355 scopus 로고
    • To criticise the critics: An objective analysis of stochastic trends
    • PHILLIPS, P. C. B. (1991). To criticise the critics: an objective analysis of stochastic trends, Journal of Applied Econometrics, 6, pp. 333-364.
    • (1991) Journal of Applied Econometrics , vol.6 , pp. 333-364
    • Phillips, P.C.B.1
  • 41
    • 0000784320 scopus 로고
    • Asymptotic properties of residual based tests for cointegration
    • PHILLIPS, P. C. B. and OULIARIS, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica, 58, pp. 165-93.
    • (1990) Econometrica , vol.58 , pp. 165-193
    • Phillips, P.C.B.1    Ouliaris, S.2
  • 42
    • 0002679349 scopus 로고
    • Violations of purchasing power parity and their implications for efficient international commodity markets
    • M. Sarnat, and G. P. Szego, (eds), (Cambridge, MA: Ballinger)
    • ROLL, R. (1979). Violations of purchasing power parity and their implications for efficient international commodity markets, in M. Sarnat, and G. P. Szego, (eds), International Finance and Trade (Cambridge, MA: Ballinger), 1, pp. 133-76.
    • (1979) International Finance and Trade , vol.1 , pp. 133-176
    • Roll, R.1
  • 43
    • 84977730667 scopus 로고
    • Is the real interest rate stable?
    • ROSE, A. K. (1988). Is the real interest rate stable? Journal of Finance, 63, pp. 1095-1109.
    • (1988) Journal of Finance , vol.63 , pp. 1095-1109
    • Rose, A.K.1
  • 45
    • 45549119048 scopus 로고
    • Bayesian skepticism on unit root econometrics
    • SIMS, C. A. (1988). Bayesian skepticism on unit root econometrics. Journal of Economic Dynamics and Control, 12, pp. 463-474.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 463-474
    • Sims, C.A.1
  • 47
    • 84925924182 scopus 로고
    • Inflationary expectations, economic activity, taxes and interest rates
    • TANZI, V. (1980). Inflationary expectations, economic activity, taxes and interest rates. American Economic Review, 70, pp. 12-21.
    • (1980) American Economic Review , vol.70 , pp. 12-21
    • Tanzi, V.1
  • 48
    • 0010803185 scopus 로고
    • Productivity and American leadership: A review article
    • WILLIAMSON, J. G. (1991). Productivity and American leadership: a review article. Journal of Economic Literature, 29, pp. 51-68.
    • (1991) Journal of Economic Literature , vol.29 , pp. 51-68
    • Williamson, J.G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.