Is there a nonlinear long-run relation in the U.S. interest rate and inflation?

Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also provide simulation results regarding the performance of the rank tests for some plausible nonlinear models for the data.

MoreLess

Year of publication:	2013
Authors:	Lee, Hwa-taek ; Liew, Venus khim-sen ; Yoon, Gawon
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 33.2013, 1, p. 104-112
Publisher:	AccessEcon
Subject:	(Nonlinear) cointegration \| Rank tests \| Interest rate \| Inflation

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278839