Is the real interest rate unstable? Some new evidence

Applied Economics

Volumn 29, Issue 3, 1997, Pages 359-364

  Lai, Kon S ^a  

^a CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INTEREST RATE; STATISTICAL ANALYSIS;

EID: 0031394143     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368497327137     Document Type: Article

References (25)

1. Antoncic, M. (1986) High and volatile real interest rates, Journal of Money, Credit, and Banking, 18, 18-27.
2. Bonham, C. S. (1991) Correct cointegration tests of the long-run relationship between nominal interest and inflation, Applied Economics, 23, 1487-92.
3. Breeden, D. T. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265-96.
4. Cheung, Y. W. and Lai, K. S. (1995a) Lag order and critical values of the augmented Dickey-Fuller test, Journal of Business and Economic Statistics, 13, 277-80.
5. Cheung, Y. W. and Lai, K. S. (1995b) Lag order and critical values of a modified Dickey-Fuller test, Oxford Bulletin of Economics and Statistics, 57, 411-19.
6. Choi, S. (1994) Is the real interest rate really unstable? Journal of Financial Research, 17, 551-59.
7. Darin, R. and Hetzel, R. L. (1995) An empirical measure of the real rate of interest, Federal Reserve Bank of Richmond Economic Quarterly, 81, 11-47.
8. 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, 427-31.
9. Elliott, G., Rothenberg, T. J. and Stock, J. H. (1992) Efficient tests for an autoregressive unit root, National Bureau of Economic Research Technical Working Paper 130.
10. Evans, M. D. D. and Lewis, K. K. (1995) Do expected shifts in inflation affect estimates of the long-run Fisher relation?, Journal of Finance, 50, 225-53.
11. Fama, E. F. and Gibbons, M. R. (1982) Inflation, real returns and capital investment, Journal of Monetary Economics, 9, 279-323.
12. Fisher, I. (1930) The Theory of Interest, Macmillan, New York.
13. Garbade, K. D. and Wachtel, P. (1978) Time variation in the relationship between inflation and interest rates, Journal of Monetary Economics, 4, 755-65.
14. Hansen, L. P. and Singleton, K. J. (1982) Generalized instrumental variables estimation of nonlinear rational expectations models, Econometrica, 50, 1269-86.
15. Hansen, L. P. and Singleton, K. J. (1983) Stochastic consumption, risk aversion, and the temporal behavior of asset returns, Journal of Political Economy, 91, 249-65.
16. Jacques, K. (1995) Unit roots, interest rate spreads, and inflation forecasts, Applied Economics, 27, 605-8.
17. King, R. G. and Watson, M. W. (1992) Testing long run neutrality, National Bureau of Economic Research Working Paper No. 4156.
18. Lucas, R. E. (1978) Asset prices in an exchange economy, Econometrica, 46, 1429-45.
19. 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, 439-47.
20. Mishkin, F. S. (1992) Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, 30, 195-215.
21. Mishkin, F. S. (1995) Nonstationarity of regressors and test on real-interest-rate behavior, Journal of Business and Economic Statistics, 13, 47-51.
22. Merton, R. C. (1973) An intertemporal capital asset pricing, Econometrica, 41, 867-87.
23. Rose, A. K. (1988) Is the real interest rate stable?, Journal of Finance, 43, 1095-112.
24. Rubinstein, M. (1976) The strong case for the generalized logarithmic utility model as the premier model of financial markets, Journal of Finance 31, 551-71.
25. Wallace, M. S. and Warner, J. T. (1993) The Fisher effect and the term structure of interest rates: Tests of cointegration, Review of Economics and Statistics, 75, 320-24.