Real interest rates linkages between the USA and the UK in the postwar period

International Journal of Finance and Economics

Volumn 10, Issue 3, 2005, Pages 251-262

  Kanas, Angelos ^a   Tsiotas, Georgios ^a  

^a UNIVERSITY OF CRETE   (Greece)

Author keywords

Bivariate Markov regime switching; Capital market integration; Real interest rates; Regime dependent Granger causality

Indexed keywords

CAPITAL FLOW; CAPITAL MARKET; INTEREST RATE; POST-WAR;

EASTERN HEMISPHERE; EURASIA; EUROPE; NORTH AMERICA; UNITED KINGDOM; UNITED STATES; WESTERN EUROPE; WESTERN HEMISPHERE; WORLD;

EID: 22444438398     PISSN: 10769307     EISSN: None     Source Type: Journal    
DOI: 10.1002/ijfe.271     Document Type: Article

References (45)

1. Al-Awad M, Goodwin BK. 1998. Dynamic linkages among real interest rates in international capital markets. Journal of International Money and Finance 17: 881-907.
2. Bernanke B, Gertler M. 1989. Inside the black box: the credit channel of monetary policy transmission. Journal of Economic Perspectives 9: 27-48.
3. Bernanke BS, Laubach T, Mishkin FS, Posen A. 1999. Inflation Targeting. Princeton University Press: Princeton, NJ.
4. Bowen A. 1995. British experience with inflation targetry. In Inflation Targets, Leiderman L, Svensson LEO (eds). Centre of Economic Policy Research: London.
5. Canzoneri MB, Noln C, Yates A. 1997. Mechanisms for achieving monetary stability: inflation targeting versus the ERM. Journal of Money Credit and Banking 29: 46-60.
6. Caporale GM, Pittis N. 1995. Nominal exchange rate regimes and the stochastic behavior of real variables. Journal of International Money and Finance 14: 395-415.
7. Cavaglia S. 1992. The persistence of real interest differentials: a Kalman filtering approach. Journal of Monetary Economics 29: 429-443.
8. Cheung YW, Lai KS. 1993. A fractional cointegration analysis of purchasing power parity. Journal of Business Economics and Statistics 11: 103-112.
9. Chinn MD, Frankel JA. 1995. Who drives real interest rates around the Pacific Rim: the USA or Japan? Journal of International Money and Finance 14: 801-821.
10. Clarida RH, Sarno L, Taylor MP, Valente G. 2003. The out-of-sample success of term structure models as exchange rate predictors: a step beyond. Journal of International Economics 60: 61-83.
11. Cumby RE, Mishkin F. 1986. The international linkage of real interest rates: the European-USA connection. Journal of International Money and Finance 5: 5-23.
12. Davies RB. 1987. Hypothesis testing when the nuisance parameter is present only under the alternative. Biometrika 74: 33-43.
13. Dehejia VH, Rowe N. 2001. Macroeconomic stabilization: fixed exchange rates, vsv inflation targeting. Working Paper, Carleton University.
14. den Haan WJ, Spear SA. 1998. Volatility clustering in real interest rates: theory and evidence. Journal of Monetary Economics 41: 431-453.
15. Edison HJ, Pauls D. 1993. A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990. Journal of Monetary Economics 31: 165-187.
16. Friedman BM, Kuttner K. 1996. A price target for USA monetary policy? Lessons from the experience with money rates. Brookings Papers on Economic Activity 1: 77-125.
17. Fujihara R, Mougoue M. 1996. International linkages between short-term real interest rates. Quarterly Journal of Economics and Finance 36(4): 451-473.
18. Garcia R, Perron P. 1996. An analysis of the real interest rate under regime shift. Review of Economics and Statistics, 111-125.
19. Goodfriend M. 1995. Acquiring and maintaining credibility of low inflation: the USA experience. In Inflation Targets, Leiderman L, Svensson LEO (eds). Centre of Economic Policy Research: London.
20. Goodwin B, Grennes T. 1994. Real interest rate equalization and the integration of international financial markets. Journal of International Money and Finance 13: 107-124.
21. Hamilton JD. 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57: 357-384.
22. Hansen BE. 1992. The likelihood ratio test under non-standard conditions: testing the Markov trend model of GNP. Journal of Applied Econometrics 7: S61-S82.
23. Huizinga J, Mishkin F. 1986. Monetary policy shifts and the unusual behaviour of real interest rates. Carnegie-Rochester Conference Series on Public Policy 24: 231-274.
24. Isard P. 1982. An accounting framework and some issues for modeling how exchange rates respond to news. International Finance Discussion Paper No. 200, Board of Governors of the Federal Reserve, Washington, DC.
25. Johansen S. 1988. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 12: 231-254.
26. Johansen S. 1991. Estimation and hypothesis testing of cointegrating vectors in Gaussian vector autoregressive models. Econometrica 59: 1551-1580.
27. Karfakis CJ, Moschos DM. 1990. Interest rate linkages within the European Monetary System: a time series analysis. Journal of Money, Credit and Banking 22: 388-394.
28. Katsimbris GM, Miller SM. 1993. Interest rate linkages within the European Monetary System: further analysis. Journal of Money, Credit and Banking 25: 771-779.
29. Katsimbris GM, Miller SM. 1997. Do temporal causality tests provide information on policy dominance? Journal of Economic Studies 24: 379-391.
30. Krolzig HM. 1997. Markov Switching Vector Autoregressions: Modelling, Statistical Inference and Application to Business Cycles Analysis. Springer-verlag: Berlin.
31. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y. 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 54: 159-178.
32. Lothian JR, Taylor MP. 1997. Real exchange rate behaviour: the problem of power and sample size. Journal of International Money and Finance 16: 945-954.
33. Lucas RF. 1973. Econometric policy evaluation: a critique. Carnegie-Rochester Conference Series on Public Policy 1: 19-46.
34. Mancuso A, Goodwin BK, Grennes TJ. 2003. Nonlinear aspects of capital market integration and real interest rate equalization. International Review of Economics and Finance 191: 1-21.
35. Mankiw NG, Miron JA. 1986. The changing behaviour of the term structure of interest rates. Quarterly Journal of Economics 101: 211-228.
36. Mishkin F. 1995. Non-stationarity of regressors and tests on real-interest-rate behaviour. Journal of Business and Economic Statistics 13: 47-51.
37. Modjtahedi B. 1988. Dynamics of real interest differentials. European Economic Review 32: 1191-1211.
38. Phylaktis K. 1997. Capital market integration in the Pacific-Basin region: an analysis of real interest rates linkages. Pacific-Basin Finance Journal 5: 195-213.
39. Rose AK. 1988. Is the real interest rate stable? Journal of Finance 18: 1095-1112.
40. Sarno L, Valente G, Taylor MP. 2004. Monetary fundamentals and exchange rate dynamics under different nominal regimes. Economic Inquiry 42(2): 179-193.
41. Siklos PL, Skoczylas LF. 2002. Volatility clustering in real interest rates: international evidence. Journal of Macroeconomics 24: 193-209.
42. Swanson PE. 1987. Capital market integration over the past decade: the case of the USA dollar. Journal of International Money Finance 6: 215-225.
43. Throop AW. 1994. International financial market integration and linkages of national interest rates. Economic Review, Federal Reserve Bank of San Francisco 3: 3-18.
44. Tullio G, Wolters J. 2000. Interest rate linkages between the USA and the UK during the classical gold standard. Scottish Journal of Political Economy 47(1): 61-71.
45. Valente G. 2003. Monetary policy rules and regime shifts. Applied Financial Economics 13: 525-535.