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Volumn 10, Issue 2, 2000, Pages 171-176

A regression tree analysis of real interest rate regime changes

Author keywords

[No Author keywords available]

Indexed keywords

INTEREST RATE; REGRESSION ANALYSIS;

EID: 0033939199     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031000331806     Document Type: Article
Times cited : (4)

References (14)
  • 5
    • 0001175451 scopus 로고
    • Time variation in the relationship between inflation and interest rates
    • Garbade, K. D. and Wachtel, P. (1978) Time variation in the relationship between inflation and interest rates, Journal of Monetary Economics, 4, 755-65.
    • (1978) Journal of Monetary Economics , vol.4 , pp. 755-765
    • Garbade, K.D.1    Wachtel, P.2
  • 6
    • 38249003797 scopus 로고
    • The fisher effect in a signal extraction framework: The recent Brazilian experience
    • Garcia, M. G. P. (1993) The Fisher effect in a signal extraction framework: the recent Brazilian experience, Journal of Development Economics, 41, 71-93.
    • (1993) Journal of Development Economics , vol.41 , pp. 71-93
    • Garcia, M.G.P.1
  • 7
    • 0030525596 scopus 로고    scopus 로고
    • An analysis of the real interest, rate under regime shifts
    • Garcia, R. and Perron, P. (1996) An analysis of the real interest, rate under regime shifts, Review of Economics and Statistics, 78, 111-25.
    • (1996) Review of Economics and Statistics , vol.78 , pp. 111-125
    • Garcia, R.1    Perron, P.2
  • 8
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton, J. D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 10
    • 0005832658 scopus 로고
    • Estimation of the specification error in the fisher equation
    • Johnson, P. A. (1994) Estimation of the specification error in the Fisher equation, Applied Economics, 26, 519-26.
    • (1994) Applied Economics , vol.26 , pp. 519-526
    • Johnson, P.A.1
  • 11
    • 0000304188 scopus 로고
    • Money, real interest rates, and output: A reinterpretation of postwar US data
    • Litterman, R. B. and Weiss, L. (1985) Money, real interest rates, and output: a reinterpretation of postwar US data, Econometrica, 53, 129-56.
    • (1985) Econometrica , vol.53 , pp. 129-156
    • Litterman, R.B.1    Weiss, L.2
  • 12
    • 0042006451 scopus 로고
    • Is the fisher effect for real? A re-examination of the relationship between inflation and interest rates
    • Mishkin, F. S. (1991) Is the Fisher effect for real? A re-examination of the relationship between inflation and interest rates, NBER Working Paper, No. 3632.
    • (1991) NBER Working Paper , vol.3632
    • Mishkin, F.S.1
  • 13
    • 84945789945 scopus 로고
    • The estimation of the parameters of a linear regression system obeying two separate regimes
    • Quandt, R. E. (1958) The estimation of the parameters of a linear regression system obeying two separate regimes, Journal of the American Statistical Association, 53, 873-80.
    • (1958) Journal of the American Statistical Association , vol.53 , pp. 873-880
    • Quandt, R.E.1
  • 14
    • 84947392504 scopus 로고
    • Tests of the hypothesis that a linear regression system obeys two separate regimes
    • Quandt, R. E. (1960) Tests of the hypothesis that a linear regression system obeys two separate regimes, Journal of the American Statistical Association, 55, 324-30.
    • (1960) Journal of the American Statistical Association , vol.55 , pp. 324-330
    • Quandt, R.E.1


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