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Structural Breaks, Cointegration and the Fisher Effect · Study

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PreprintStructural Breaks, Cointegration and the Fisher Effect

Andreas Beyer2009

OA

Preprintgreen2009

Structural Breaks, Cointegration and the Fisher Effect

Andreas Beyer · Alfred A. Haug · William G. Dewald

36 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Economic Theory and Policy Economic theories and models

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1992Efficient Tests for an Autoregressive Unit Root 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1996Numerical distribution functions for unit root and cointegration tests

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2009Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK 2014Relationship between Inflation and Interest Rate: Evidence from Pakistan 2017FİSHER HİPOTEZİ'NİN PANEL VERİ ANALİZİ İLE TEST EDİLMESİ: OECD ÜLKELERİ UYGULAMASI 2020The Relationship between the Exchange Rate, Interest Rate and Inflation: The Case of Turkey 2015Enflasyon-Faiz Oranı Takası: Fisher Hipotezi Bağlamında Türkiye Ekonomisi İçin Dinamik En Küçük Kareler Yöntemi

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2014The Fisher effect in the presence of time-varying coefficientsarticle · 12 shared references 2008Real Interest Rate Persistence: Evidence and Implicationsarticle · 11 shared references 2017Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countriesarticle · 10 shared references 1994Chapter 46 Unit roots, structural breaks and trendschapter · 9 shared references 2008Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzlearticle · 9 shared references 2008Testing for the Fisher hypothesis under regime shifts: an application to Asian countriesarticle · 9 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1333613

openalex_workW1495564401

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2011Money supply, interest rate, exchange rate and oil price influence on inflation in South Africa

2012Aid, fiscal policy and macroeconomy of Uganda : a cointegrated vector autoregressive (CVAR) approach