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

Maki, Daiki

doi:10.1016/s0165-1765(03)00216-7

Cited by 17 publications

(9 citation statements)

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“…The purchasing power parity literature often uses these threshold models(Sarno and Taylor, 2002).16 Maki (2003) uses theBreitung (2002) nonparametric procedure that allows for nonlinear adjustment dynamics to test for cointegration between the Japanese nominal interest rate and CPI inflation rate for 1972:01-2000:12. WhileMaki (2003) finds significant evidence of cointegration between the nominal interest rate and inflation rate using theBreitung (2002) test, he does not estimate the cointegrating vector, so it is not clear that the long-run equilibrium relationship is consistent with a stationary EPRR.…”

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confidence: 99%

Real Interest Rate Persistence: Evidence and Implications

Neely¹,

Rapach²

2009

ICPSR Data Holdings

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The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research. ( ines its long-run properties. This paper selectively reviews this literature, highlights its central findings, and analyzes their implications for theory. We illustrate our study with new empirical results based on U.S. data. Two themes emerge from our review: (i) Real rates are very persistent, much more so than consumption growth; and (ii) researchers should seriously explore the causes of this persistence.First, empirical studies find that real interest rates exhibit substantial persistence, shown by extended periods when postwar real interest rates are substantially above or below the sample mean. Researchers characterize this feature of the data with several types of models. One group of studies uses unit root and cointegration tests to analyze whether shocks permanently affect the real interest rate-that is, whether the real rate behaves like a random walk. Such studies often report evidence T he real interest rate-an interest rate adjusted for either realized or expected inflation-is the relative price of consuming now rather than later. 1 As such, it is a key variable in important theoretical models in finance and macroeconomics, such as the consumption-based asset pricing model (Lucas, 1978; Breeden, 1979; Singleton, 1982, 1983), neoclassical growth model (Cass, 1965;Koopmans, 1965), models of central bank policy (Taylor, 1993), and numerous models of the monetary transmission mechanism.The theoretical importance of the real interest rate has generated a sizable literature that exam-1 Heterogeneous agents face different real interest rates, depending on horizon, credit risk, and other factors. And inflation rates are not unique, of course.

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confidence: 99%

Real Interest Rate Persistence: Evidence and Implications

Neely¹,

Rapach²

2009

ICPSR Data Holdings

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“…Johansen eşbütünleşme testini, VAR testini ve vektör hata düzeltme modelini kullanarak Fisher Hipotezini inceleyen Crowder ve Hoffman (1996) Japonya ekonomisi için nominal faiz oranı ile beklenen enflasyon arasındaki ilişkiyi inceleyen Maki (2003), uzun dönem faiz oranı için 10 yıllık tahvil faizi, kısa dönem faizi oranı için ise kısa vadeli piyasa faizini kullanmıştır. 1972:1-2000:12 yılları arasında yapılan çalışmada non-parametrik eşbütünleşme yöntemi kullanılmıştır ve nominal faiz oranı ile enflasyon arasında dengeli bir ilişkiye rastlanılmıştır.…”

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“…çalışmada faiz oranı için 3 aylık tahvil faizini, enflasyon için ise tüketici fiyat endeksini kullanmıştır. Çalışmada uzun dönemde enflasyondan faiz oranlarına doğru bir ilişki olduğu tespit edilmiş ve elde edilen sonuçların Fisher hipotezini destekler nitelikte olduğu belirtilmiştir.Johansen Eşbütünleşme yöntemini kullananGül ve Açıkalın (2008), 1990-2003 yılları arasında aylık faiz ve enflasyon oranını kullanarak ikisi arasındaki ilişkiyi Türkiye ekonomisi bağlamında incelemiştir. Çalışmada yapılan test sonucunda güçlü bir Fisher Etkisinin olduğu tespit edilmiştir.…”

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Enflasyonun Stokasti̇k Beli̇rleyi̇ci̇leri̇: Türki̇ye Ekonomi̇si̇ İçi̇n Bi̇r Nardl Yaklaşimi

Afsal

Doğan

Örün

et al. 2018

JLECON

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“…Such a property of real interest rates implies that the deviation from the equilibrium Fisher relationship does not hinder the basis of the Fisher equation. The second group of studies include, among others, Evans and Lewis (1995), Crowder and Hofffman (1996), Daniels et al (1996), Clemente et al (1998), Koustas and Serletis (1999), Coppock and Poitras (2000), Lanne (2001), Berument and Jelassi (2002), Atkins and Coe (2002), Maki (2003), Million (2004, Lai (2004), Rapach and Wohar (2004), Sun and Phillips (2004), Berument et al (2007), Pipatchaipoom and Smallwood (2008) and Neely and Rapach (2008). The evidence these studies present thus far is somewhat mixed.…”

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International Evidence on Real Interest Rate Persistence

Özdemir

Ekinci

Gökmenoğlu

2015

Singapore Econ. Rev.

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the Netherlands, New Zealand, Norway, Switzerland, the UK and the USA using seasonally adjusted quarterly data. The procedure used in this study extends the previous research in the respect of investigating degree of persistency of the ex-post real interest rates series by allowing for possible process shifts at endogenously determined more than two structural breaks dates following the principles suggested by Lumsdaine and Papell (1997). The results from the study show that real interest rates are very persistent when such breaks are not taken into account. However, the findings also indicate low persistency in real interest rates for all countries when such breaks are allowed in the data-generating process. We find that endogenously determined structural breaks substantially reduce the degree of persistency of the real interest rate series, which has important theoretical implications as well. a Lag length p in Equations (2) and (4) is selected using the top-down approach of Campbell and Perron (1991). b OLS estimate for the sum of the AR coefficients in Equations (2) and (4). c Estimate of the half-life (measured in years) based on the impulse response function.

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

Cited by 17 publications

References 12 publications

Real Interest Rate Persistence: Evidence and Implications

Real Interest Rate Persistence: Evidence and Implications

Enflasyonun Stokasti̇k Beli̇rleyi̇ci̇leri̇: Türki̇ye Ekonomi̇si̇ İçi̇n Bi̇r Nardl Yaklaşimi

International Evidence on Real Interest Rate Persistence

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