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
收藏
页码：349 / 354
页数：6
相关论文
共 50 条
12345