Is there a nonlinear long-run relation in the U.S. interest rate and inflation?
Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also pr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economics Bulletin
2013
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/15931/ http://ir.unimas.my/id/eprint/15931/1/EB-13-V33-I1-P10%20%28abstrak%29.pdf |
| Summary: | Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also provide simulation results regarding the performance of the rank tests for some plausible nonlinear models for the data. |
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