메뉴 건너뛰기




Volumn 26, Issue 2, 2001, Pages 357-366

Near unit root and the relationship between inflation and interest rates: A reexamination of the fisher effect

Author keywords

Fisher effect; Monetary policy; Near unit root

Indexed keywords

HISTORICAL PERSPECTIVE; INFLATION; INTEREST RATE; TARGETING;

EID: 0141819259     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001810000044     Document Type: Article
Times cited : (24)

References (18)
  • 1
    • 84974098166 scopus 로고
    • Inference in models with nearly integrated regressors
    • Cavanagh CL, Elliott G, Stock JH (1995) Inference in models with nearly integrated regressors. Econometric Theory 11:1131-1147
    • (1995) Econometric Theory , vol.11 , pp. 1131-1147
    • Cavanagh, C.L.1    Elliott, G.2    Stock, J.H.3
  • 2
    • 0030554245 scopus 로고    scopus 로고
    • The long-run relationship between nominal interest rates and inflation: The Fisher equation revisited
    • Crowder WJ, Hoffman DL (1996) The long-run relationship between nominal interest rates and inflation: The Fisher equation revisited. Journal of Money, Credit, and Banking 28:102-118
    • (1996) Journal of Money, Credit, and Banking , vol.28 , pp. 102-118
    • Crowder, W.J.1    Hoffman, D.L.2
  • 3
    • 0000428450 scopus 로고    scopus 로고
    • Making Wald tests work for cointegrated VAR systems
    • Dolado JJ, Lütkepohl H (1996) Making Wald tests work for cointegrated VAR systems. Econometric Reviews 15:369-386.
    • (1996) Econometric Reviews , vol.15 , pp. 369-386
    • Dolado, J.J.1    Lütkepohl, H.2
  • 5
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott G, Rothenberg TJ, Stock JH (1996) Efficient tests for an autoregressive unit root. Econometrica 64:813-836
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 6
    • 84974336749 scopus 로고
    • Inference in time series regression when the order of integration of a regressor is unknown
    • Elliott G, Stock JH (1994) Inference in time series regression when the order of integration of a regressor is unknown. Econometric Theory 10:672-700
    • (1994) Econometric Theory , vol.10 , pp. 672-700
    • Elliott, G.1    Stock, J.H.2
  • 7
    • 84993907289 scopus 로고
    • Do expected shifts in inflation affect estimates of the long-run Fisher relation?
    • Evans MDD, Lewis KK (1995) Do expected shifts in inflation affect estimates of the long-run Fisher relation? Journal of Finance 50:225-253
    • (1995) Journal of Finance , vol.50 , pp. 225-253
    • Evans, M.D.D.1    Lewis, K.K.2
  • 8
    • 0039120731 scopus 로고    scopus 로고
    • Monetary policy shifts and long-term interest rates
    • Fuhrer JC (1996) Monetary policy shifts and long-term interest rates. Quarterly Journal of Economics 111: 1183-1209
    • (1996) Quarterly Journal of Economics , vol.111 , pp. 1183-1209
    • Fuhrer, J.C.1
  • 9
    • 0040361501 scopus 로고
    • Acquiring and maintaining credibility for low inflation: The US experience
    • Leiderman L, Svensson LEO (eds.), CEPR, London
    • Goodfriend M (1995) Acquiring and maintaining credibility for low inflation: The US experience. In, Leiderman L, Svensson LEO (eds.), Inflation Targets. CEPR, London, pp. 122-141
    • (1995) Inflation Targets , pp. 122-141
    • Goodfriend, M.1
  • 11
    • 0000403447 scopus 로고
    • Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates
    • Mishkin FS (1992) Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates. Journal of Monetary Economics 30:195-215
    • (1992) Journal of Monetary Economics , vol.30 , pp. 195-215
    • Mishkin, F.S.1
  • 12
    • 21844483840 scopus 로고
    • Nonstationarity of regressors and tests on real-interest-rate behavior
    • Mishkin FS (1995) Nonstationarity of regressors and tests on real-interest-rate behavior. Journal of Business & Economic Statistics 13:47 -51.
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 47-51
    • Mishkin, F.S.1
  • 13
    • 21844518679 scopus 로고
    • Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag
    • Ng S, Perron P (1995) Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Journal of the American Statistical Association 90:268-281
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 268-281
    • Ng, S.1    Perron, P.2
  • 14
    • 0039925680 scopus 로고
    • Confidence intervals for the largest autoregressive root in US macroeconomic time series
    • Stock JH (1991), Confidence intervals for the largest autoregressive root in US macroeconomic time series. Journal of Monetary Economics 28:435-459
    • (1991) Journal of Monetary Economics , vol.28 , pp. 435-459
    • Stock, J.H.1
  • 15
    • 0038383895 scopus 로고    scopus 로고
    • Cointegration, long-run comovements, and long-horizon forecasting
    • Kreps DM, Wallis KF (eds.) Seventh World Congress, Cambridge University Press, Cambridge, U.K
    • Stock JH (1997) Cointegration, long-run comovements, and long-horizon forecasting. In: Kreps DM, Wallis KF (eds.) Advances in economics and econometrics: theory and applications, Seventh World Congress, volume III. Cambridge University Press, Cambridge, U.K, pp. 34-60
    • (1997) Advances in Economics and Econometrics: Theory and Applications , vol.3 , pp. 34-60
    • Stock, J.H.1
  • 17
    • 24844470093 scopus 로고    scopus 로고
    • Monetary policy and the Fisher effect
    • forthcoming
    • Söderlind P (1999) Monetary policy and the Fisher effect. Journal of Policy Modeling (forthcoming)
    • (1999) Journal of Policy Modeling
    • Söderlind, P.1
  • 18
    • 0000383532 scopus 로고
    • Statistical inference in vector autoregressions with possibly integrated processes
    • Toda HY, Yamamoto T (1995) Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics 66:225-250
    • (1995) Journal of Econometrics , vol.66 , pp. 225-250
    • Toda, H.Y.1    Yamamoto, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.