Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

被引：7

作者：

Maki, D

机构：

[1] Doshisha Univ, Grad Sch Econ, Kamigyo Ku, Kyoto 6028580, Japan

[2] Putimezon J&S 103, Nakagyo Ku, Kyoto 6040841, Japan

来源：

ECONOMICS LETTERS | 2003年 / 81卷 / 03期

关键词：

cointegration; nonparametric; nonlinear adjustment;

D O I：

10.1016/S0165-1765(03)00216-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the relationship between the nominal interest rate and expected inflation rate in Japan by a nonparametric cointegration approach. While Johansen's method does not obtain the results of cointegration, a nonparametric approach which assumes a general data process provides clear evidence of the cointegration. The results indicate nonlinearity in the real interest rate adjustment. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：349 / 354

页数：6

共 50 条

[1] ANTICIPATED INFLATION AND NOMINAL RATE OF INTEREST
SARGENT, TJ
[J]. QUARTERLY JOURNAL OF ECONOMICS, 1972, 86 (02): : 212 - 225
[2] FISHER,I INFLATION, AND NOMINAL RATE OF INTEREST
CHOATE, GM
ARCHER, SH
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1975, 10 (04) : 675 - 685
[3] Rational expectations, inflation and the nominal interest rate
Crockett, JA
[J]. JOURNAL OF ECONOMETRICS, 1998, 83 (1-2) : 349 - 363
[4] EXPECTED INFLATION AND THE REAL RATE OF INTEREST - A NOTE
DAY, TE
[J]. JOURNAL OF BANKING & FINANCE, 1985, 9 (04) : 491 - 498
[5] ANTICIPATED INFLATION AND NOMINAL RATE OF INTEREST - FURTHER RESULTS
VISCO, I
[J]. QUARTERLY JOURNAL OF ECONOMICS, 1975, 89 (02): : 303 - 310
[6] EXPECTED INFLATION AND THE OPTIMAL NUMBER OF NOMINAL WAGE RATE REVISIONS
CHRISTOFIDES, LN
[J]. ECONOMICS LETTERS, 1982, 9 (03) : 243 - 249
[7] Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate
Maki, Daiki
[J]. ECONOMICS BULLETIN, 2005, 3
[8] The time-series properties of Norwegian inflation and nominal interest rate
Osterholm, Par
[J]. APPLIED ECONOMICS, 2009, 41 (10) : 1303 - 1309
[9] Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation
Norrbin, Onsurang
Smallwood, Aaron D.
[J]. SOUTHERN ECONOMIC JOURNAL, 2011, 78 (01) : 107 - 130
[10] EXPECTED INFLATION AND THE REAL INTEREST-RATE - A SURVEY OF CURRENT ISSUES
ROVELLI, R
[J]. GIORNALE DEGLI ECONOMISTI E ANNALI DI ECONOMIA, 1984, 43 (9-10) : 671 - 697

← 1 2 3 4 5 →