Research Commons
      • Browse 
        • Communities & Collections
        • Titles
        • Authors
        • By Issue Date
        • Subjects
        • Types
        • Series
      • Help 
        • About
        • Collection Policy
        • OA Mandate Guidelines
        • Guidelines FAQ
        • Contact Us
      • My Account 
        • Sign In
        • Register
      View Item 
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Are international real interest rate linkages characterized by asymmetric adjustments?

      Holmes, Mark J.; Maghrebi, Nabil
      DOI
       10.1016/j.intfin.2005.06.001
      Link
       www.sciencedirect.com
      Find in your library  
      Citation
      Export citation
      Holmes, M. J. & Maghrebi, N.(2006). Are international real interest rate linkages characterized by asymmetric adjustments? Journal of International Financial Markets, Institutions and Money, 16(4), 384-396.
      Permanent Research Commons link: https://hdl.handle.net/10289/1843
      Abstract
      This study tests for asymmetries in the adjustment mechanism towards real interest parity using monthly data over the period 1973–2004 for the U.S. and a sample of other OECD economies. There is stronger evidence of long-run cointegrating relationships when an explicit distinction is made between decreasing and increasing deviations from equilibrium. The speed of mean-reversion tends to be fastest when momentum gathers for increasing rather than decreasing deviations. This evidence is consistent with asymmetric monetary policy responses where close linkages with respect to the U.S. are likely to be less prevalent in a regime of rising nominal interest rates and falling inflation.
      Date
      2006
      Type
      Journal Article
      Publisher
      Elsevier B.V.
      Collections
      • Management Papers [1098]
      Show full item record  

      Usage

       
       
       

      Usage Statistics

      For this itemFor all of Research Commons

      The University of Waikato - Te Whare Wānanga o WaikatoFeedback and RequestsCopyright and Legal Statement