Convergence in interest rates and inflation rates across countries and over time

Review of International Economics

Volumn 5, Issue 1, 1997, Pages 129-141

  Siklos, Pierre L ^a,b   Wohar, Mark E ^c  

^a WILFRID LAURIER UNIVERSITY   (Canada)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF NEBRASKA AT OMAHA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000342563     PISSN: 09657576     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9396.00045     Document Type: Article

References (16)

1. Bernard, Andrew, and Steven N. Durlauf, "Convergence in International Output," Journal of Applied Econometrics 10 (1995):97-108.
2. Brenner, Robin, and Kenneth F. Kroner, "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis 30 (1995):23-42.
3. Engle, Robert F., and Clive W. J. Granger, "Co-Integration and Error: Representation, Estimation and Testing," Econometrica 55 (1987):251-76.
4. Hakkio, Craig G., and Mark Rush, "Cointegration: How Short is the Long Run?" Journal of International Money and Finance 10 (1991):571-81.
5. Hall, Alastair, "Testing for a Unit Root in Time Series with Pretest Data Based Model Selection," Journal of Business and Economic Statistics 12 (1994):461-70.
6. Hallwood, Chris P., and Ronald MacDonald, International Money and Finance, 2nd ed., Oxford: Basil Blackwell, 1994.
7. Hamilton, James D., Time Series Analysis, Princeton, NJ: Princeton University Press, 1994.
8. Hendry, David F., "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics 48 (1986):201-12.
9. Johansen, Søren, "Estimation and Hypothesis Testing of Cointegration Vectors In Gaussian Vector Autoregressive Models," Econometrica 59 (1991):1551-80.
10. Johansen, Søren, and Katarina Juselius, "Maximum Likelihood Estimation and Inference on Cointegration - With Application to the Demand for Money," Oxford Bulletin of Economics and Statistics 52 (1990):169-210.
11. Karfakis, Costas J., and Demetrios M. Moschos, "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Journal of Money, Credit and Banking 22 (1990):388-94.
12. Laidler, David E. W., The Demand for Money, 4th ed., New York: Harper-Collins, 1993.
13. McCallum, Bennett T., "A Reconsideration of the Uncovered Interest Rate Parity Relationship." Journal of Monetary Economics 33 (1994):105-32.
14. Mishkin, Frederic S., "A Multi-Country Study of the Information in the Shorter Maturity Term Structure About Future Inflation, Journal of International Money and Finance 10 (1991):2-22.
15. Perron, Pierre, and Timothy J. Vogelsang, "Nonstationarity and Level Shifts with an Application to PPP," Journal of Business and Economic Statistics 10 (1992):301-20.
16. Throop, Adrian W., "International Financial Market Integration and Linkages of National Interest Rates," Economic Review (Federal Reserve Bank of San Francisco) 3 (1994):3-18.