On mean reversion in real interest rates: An application of threshold cointegration

Arbeitspapier

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean reversion is active only conditional on certain threshold values in the observed variables. We investigate whether findings of such effects can be exploited for interest rate prediction.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Reihe Ökonomie / Economics Series ; No. 109

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Interest Rates: Determination, Term Structure, and Effects
• Thema: nonlinear time series ; Fisher equation ; yield spread ; forecasting ; Realzins ; Quantitätstheorie ; Zeitreihenanalyse ; Kointegration ; Schätzung ; Deutschland ; Japan ; Großbritannien ; USA ; Mean Reversion ; Autokorrelation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Jumah, Adusei ; Kunst, Robert M.
• Ereignis: Veröffentlichung
• (wer): Institute for Advanced Studies (IHS)
• (wo): Vienna
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/71237
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ