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dc.contributor.authorHolmes, Mark J.
dc.contributor.authorMaghrebi, Nabil
dc.date.accessioned2009-01-26T22:36:59Z
dc.date.available2009-01-26T22:36:59Z
dc.date.issued2006
dc.identifier.citationHolmes, 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.en
dc.identifier.urihttps://hdl.handle.net/10289/1843
dc.description.abstractThis 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.en
dc.language.isoen
dc.publisherElsevier B.V.en
dc.relation.urihttp://www.sciencedirect.com/science/journal/10424431en
dc.subjectreal interest parityen
dc.subjectasymmetriesen
dc.subjectcointegrationen
dc.titleAre international real interest rate linkages characterized by asymmetric adjustments?en
dc.typeJournal Articleen
dc.identifier.doi10.1016/j.intfin.2005.06.001en
dc.relation.isPartOfJournal of International Financial Markets, Institutions and Moneyen_NZ
pubs.begin-page384en_NZ
pubs.elements-id32024
pubs.end-page396en_NZ
pubs.issue4en_NZ
pubs.volume16en_NZ


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