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.

      Real interest rates, inflation and open economy: A regime-switching perspective on Australia and New Zealand

      Holmes, Mark J.; Dutu, Richard; Cui, Xiaoman
      DOI
       10.1016/j.iref.2008.04.001
      Find in your library  
      Citation
      Export citation
      Holmes, M., Dutu, R. & Cui, X. (2009). Real interest rates, inflation and open economy: A regime-switching perspective on Australia and New Zealand. International Review of Economics and Finance, 18 (2), 351-360.
      Permanent Research Commons link: https://hdl.handle.net/10289/2717
      Abstract
      We investigate the time-series properties of Australian and New Zealand real interest rates within a Markov-switching framework. This enables us to identify characteristics in real interest rate behavior hitherto unacknowledged. We find that rates switch between alternative stationary regimes characterized by differing means, speeds of mean-reversion and volatility. For New Zealand, high rates of inflation increase the probability of remaining in a regime characterized by a faster speed of adjustment. Further application of this methodology considers the real interest rate differential between Australia and New Zealand and points to differing regimes based on volatility rather than persistence.
      Date
      2009
      Type
      Journal Article
      Publisher
      Elsevier
      Collections
      • Management Papers [1101]
      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