All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Hwa-taek Lee, Venus khim-sen Liew and Gawon Yoon
''Is there a nonlinear long-run relation in the U.S. interest rate and inflation?''
( 2013, Vol. 33 No.1 )
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.
Keywords: (Nonlinear) cointegration, Rank tests, Interest rate, Inflation
JEL: C1 - Econometric and Statistical Methods: General
E4 - Money and Interest Rates: General
Manuscript Received : Mar 04 2012 Manuscript Accepted : Jan 14 2013

  This abstract has been downloaded 1713 times                The Full PDF of this paper has been downloaded 152486 times