Real interest rate equalization: some empirical evidence from the three major world financial markets
This article examines the linkage of real interest rates of the three major world financial markets (USA, Japan and the UK) with the use of cointegration methods. Unlike previous works, the investigation uses a trivariate vector autoregressive (VAR) model in which a constant term in the common stochastic trends space is excluded. Based on data generated after the liberalization of Japan's foreign exchange market at the end of 1980 (1981:1-1998:12), the article finds some empirical evidence indicating that the extent of the departure from the long-run real interest rate equalization (RIE) is not very large, although the null hypothesis of the long-run RIE is rejected in most cases.
Year of publication: |
2002
|
---|---|
Authors: | Yamada, Hiroshi |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 34.2002, 16, p. 2069-2073
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Yamada, Hiroshi, (2011)
-
Japan’s output gap estimation and ℓ <Subscript>1</Subscript> trend filtering
Yamada, Hiroshi, (2013)
-
When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices
Yamada, Hiroshi, (2014)
- More ...