Central Bank's interventions and the Fisher hypothesis: A threshold cointegration investigation

Economic Modelling

Volumn 21, Issue 6, 2004, Pages 1051-1064

  Million, Nicolas ^a  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Fisher effect and monetary policy regimes; Smooth transition threshold cointegration; Structural breaks

Indexed keywords

EID: 5144230099     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2004.03.002     Document Type: Article

References (34)

1. Anderson H. Transaction costs and non-linear adjustment towards equilibrium in the US treasury bill market Oxford Bull. Econ. Stat. 59 1997 465-484
2. Balke N.S. Fomby T.B. Threshold cointegration Int. Econ. Rev. 38 1997 627-646
3. Bec F. Ben Salem M. Collard F. Asymmetries in monetary policy reaction function: evidence for US, French and German central banks Stud. Non-linear Dyn. Econometric 6 2 2002 1006
4. Bismut, C., 1988. Réflexion sur le niveau des taux d'intérêt réels depuis le début des années quatre-vingt. Documents de travail CEPII 88.05
5. Caner M. Hansen B. Threshold autoregressions with a unit root Econometrica 69 2001 1555-1596
6. Clarida R. Gali J. Gertler M. The science of monetary policy: a new keynesian perspective J. Econ. Lit. XXXVII 1999 1661-1707
7. Coakley J. Fuertes A.M. Asymmetric dynamics in UK real interest rates Appl. Financ. Econ. 12 2002 379-387
8. Dickey D. Fuller W.A. Likelihood ratio statistics for autoregressive time series with a unit root Econometrica 49 1981 1057-1072
9. Dolado, J.J., Dolores, R.M., Ruge-Garcia, F.J., 2002. Non-linear monetary policy rules: some new evidence for the US. CEPR Discussion Paper 3405
10. Elliott G. Rothenberg T.J. Stock J.H. Efficient tests for an autoregressive unit root Econometrica 64 1996 813-836
11. Enders W. Granger C.W.J. Unit root tests and asymmetric adjustment with an example using the term structure of interest rates J. Bus. Econ. Stat. 16 3 1998 304-311
12. Engle R.F. Granger C.W.J. Cointegration and error correction: representation, estimation and testing Econometrica 55 1987 251-276
13. Fama E. Short term interest rates as predictors of inflation Am. Econ. Rev. 65 1975 269-282
14. Fama E. Gibbons M.R. Inflation, real returns and capital investment J. Monetary Econ. 9 1982 297-324
15. Fisher, I., 1930. The Theory of Interest, New York (reprinted A.M. Kelly, 1965)
16. Garcia R. Perron P. An analysis of the real rate of interest under regime shifts Rev. Econ. Stat. 78 1996 111-125
17. Gray S.F. Modelling the conditional distribution of interest rates as a regime switching process J. Financ. Econ. 42 1996 27-62
18. Gregory A.W. Hansen B.E. Residual based tests for cointegration in models with regime shifts J. Econometrics 70 1996 99-126
19. Kim, D., Osborn, D., Sensier, M., 2002. Non-linearity in the FED's monetary policy rule. SES Discussion Paper
20. Kwiatkowski D. Phillips P.C.B. Schmidt P. Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root J. Econometrics 54 1992 159-178
21. Luukkonen R. Saikkonen P. Terasvirta T. Testing linearity against smooth transition autoregressive models Biometrika 75 1988 491-499
22. Mankiw G.N. Miron J.A. The changing behavior of the term structures of interest rates Q. J. Econ. C1-2 1986 211-228
23. Million, N., 2003a. Are central bankers opportunistic? Cahiers de la Maison des Sciences Economiques, série verte (EUREQua) 2003.97
24. Million N. The fisher effect revisited through an efficient non-linear unit root testing procedure Appl. Econ. Lett. 10 2003b 951-954
25. Mishkin F.S. Is the fisher effect for real? J. Monetary Econ. 30 1992 195-215
26. Orphanides, A., Wilcox, D., 1996. The opportunistic approach to disinflation. Finance and Economics Discussion Paper 1996-24
27. Perron P. The great crash, the oil price shock and the unit root hypothesis Econometrica 57 1989 1361-1401
28. Perron P. Further evidence on breaking trend functions in macroeconomic variables J. Econometrics 80 1997 355-385
29. Pippinger M.K. Goering G.E. A note on the empirical power of unit root tests under threshold processes Oxford Bull. Econ. Stat. 55 1993 473-481
30. Rose A. Is the real interest stable? J. Financ. 43 1988 1095-1112
31. Said S.E. Dickey D.A. Testing for unit roots in autoregressive moving average models of unknown order Biometrika 71 1984 599-607
32. Sola M. Driffil J. Testing the term structure of interest rates using a stationary vector autoregression with regime switching J. Econ. Dyn. Control 18 1994 601-628
33. Taylor, J., 1983. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39, pp. 195-214
34. Zivot E. Andrews D.W.K. Further evidence on the great crash, the oil-price shock and the unit-root hypothesis J. Bus. Econ. Stat. 10 1992 251-270