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

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dc.contributor.authorHolmes, Mark J.
dc.contributor.authorDutu, Richard
dc.contributor.authorCui, Xiaoman
dc.date.accessioned2009-07-30T21:50:52Z
dc.date.available2009-07-30T21:50:52Z
dc.date.issued2009
dc.description.abstractWe 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.en
dc.identifier.citationHolmes, 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.en
dc.identifier.doi10.1016/j.iref.2008.04.001en
dc.identifier.urihttps://hdl.handle.net/10289/2717
dc.language.isoen
dc.publisherElsevieren_NZ
dc.relation.isPartOfInternational Review of Economics and Financeen_NZ
dc.subjectstationaryen
dc.subjectregime-switchingen
dc.subjectreal interest rateen
dc.subjectparityen
dc.titleReal interest rates, inflation and open economy: A regime-switching perspective on Australia and New Zealanden
dc.typeJournal Articleen
pubs.begin-page351en_NZ
pubs.elements-id33712
pubs.end-page360en_NZ
pubs.issue2en_NZ
pubs.volume18en_NZ
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