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