Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1624
Title: Real interest rates linkages between the USA and the UK in the postwar period
Authors: 
Citation: International Journal of Finance and Economics, 10, 3, 2005, 251-262
Abstract: This paper addresses the issue of real interest rate linkages between the UK and the USA during the postwar period. We use a bivariate Markov switching vector error correction model, which accounts for both the regime switches in the real interest rates and their long-run cointegration properties over that period. We find strong evidence of two volatility regimes, namely a high-volatility and a low-volatility regime, jointly characterizing the US and the UK real interest rates. Evidence is found of high-volatility regime dependence between the two real interest rates. In addition, there is evidence of regime-dependent Granger causality: the US real interest rate Granger causes the UK only in the regime of high volatility.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1624
URLs: http://onlinelibrary.wiley.com/doi/10.1002/ijfe.271/abstract;jsessionid=56C33142F7BFF29D884E6966C6C29B8C.d03t03
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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