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Nonlinear aspects of capital market integration and real interest rate equalization
16 references·15 citing·44 second hop
Nonlinear aspects of capital market integration and real interest rate equalization (2003)Nonlinear aspects of capital market integ…Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price (2001)Potential Pitfalls for the Pu…Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Nonlinear adjustment, long-ru…Modeling non-linearities in real effective exchange rates (1999)Modeling non-linearities in r…Capital market integration in the Pacific Basin region: an impulse response analysis (1999)Capital market integration in…Dynamic linkages among real interest rates in international capital markets (1998)Dynamic linkages among real i…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Threshold Cointegration (1997)Threshold CointegrationInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Real interest rate equalization and the integration of international financial markets (1994)Real interest rate equalizati…Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Dynamic Equilibrium and the R…Transactions Costs and Covered Interest Arbitrage: Theory and Evidence (1988)Transactions Costs and Covere…The international linkage of real interest rates: The European-US connection (1986)The international linkage of …Some evidence on the international inequality of real interest rates (1985)Some evidence on the internat…Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions (1984)Are Real Interest Rates Equal…Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions (1984)Are Real Interest Rates Equal…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence (2015)Re-examining the real interes…Interest differentials and extreme support for uncovered interest rate parity (2010)Interest differentials and ex…Does the nominal exchange rate regime affect the real interest parity condition? (2010)Does the nominal exchange rat…TESTING FOR REAL INTEREST RATE PARITY USING PANEL STATIONARITY TESTS WITH DEPENDENCE: A NOTE* (2009)TESTING FOR REAL INTEREST RAT…A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (2009)A Bayesian approach to bandwi…International financial integration through the law of one price: The role of liquidity and capital controls (2008)International financial integ…Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life (2007)Real interest parity (RIP) ov…Mr. Wicksell and the Global Economy: What Drives Real Interest Rates? (2007)Mr. Wicksell and the Global E…The real exchange rate–real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration (2006)The real exchange rate–real i…Modelling trends in food market integration: Method and an application to Tanzanian maize markets (2006)Modelling trends in food mark…Local polynomial fitting and spatial price relationships: price transmission in EU pork markets (2006)Local polynomial fitting and …The real exchange rate and real interest differentials: the role of nonlinearities (2005)The real exchange rate and re…Are international real interest rate linkages characterized by asymmetric adjustments? (2005)Are international real intere…Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets (2003)Does the Real Interest Parity…Asian real interest rates, nonlinear dynamics, and international parity (2003)Asian real interest rates, no…A Tract on Monetary Reform (1924)International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)Beating the Foreign Exchange Market (1986)Arbitrage in the foreign exchange market: Turning on the microscope (2008)Time Series Regression with a Unit Root (1987)Statistical analysis of cointegration vectors (1988)Impulse response analysis in nonlinear multivariate models (1996)Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? (1999)PPP Strikes Back: Aggregation And the Real Exchange Rate (2002)Purchasing Power Parity and the Real Exchange Rate (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)The Purchasing Power Parity Puzzle (1996)Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence (2001)Purchasing Power Parity (2003)Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Theory of Rational Option Pricing (1973)Are Financial Assets Priced Locally or Globally? (2002)International Trade and Macroeconomic Dynamics with Heterogeneous Firms* (2005)Theory of rational option pricing (2005)Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Testing for two-regime threshold cointegration in vector error-correction models (2002)How Big Is the Random Walk in GNP? (1988)Intertemporal Substitution in Consumption (1988)The overvaluation of purchasing power parity (1998)A Century of Purchasing-Power Parity (2002)Commodity currencies (2003)Expectations and Exchange Rate Dynamics (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Political vs. currency premia in international real interest differentials (1988)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)Capital mobility in the world economy: Theory and measurement (1986)Two-Person Dynamic Equilibrium in the Capital Market (1989)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)Long memory and regime switching (2001)Asymmetric Price Transmission: A Survey (2004)
this work references cited by second hop

References

  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1997Threshold Cointegration1,042 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
  • 2001Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price540 cited
  • 2000Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals455 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1984Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions312 cited
  • 1999Modeling non-linearities in real effective exchange rates235 cited
  • 1986The international linkage of real interest rates: The European-US connection183 cited
  • 1999Capital market integration in the Pacific Basin region: an impulse response analysis178 cited
  • 1988Transactions Costs and Covered Interest Arbitrage: Theory and Evidence157 cited
  • 1985Some evidence on the international inequality of real interest rates144 cited
  • 1994Real interest rate equalization and the integration of international financial markets

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142 cited
  • 1984Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions104 cited
  • 1998Dynamic linkages among real interest rates in international capital markets79 cited
  • Cited by

    • 2006Modelling trends in food market integration: Method and an application to Tanzanian maize markets148 cited
    • 2006Local polynomial fitting and spatial price relationships: price transmission in EU pork markets97 cited
    • 2008International financial integration through the law of one price: The role of liquidity and capital controls72 cited
    • 2009A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation58 cited
    • 2007Mr. Wicksell and the Global Economy: What Drives Real Interest Rates?55 cited
    • 2003Asian real interest rates, nonlinear dynamics, and international parity49 cited
    • 2009TESTING FOR REAL INTEREST RATE PARITY USING PANEL STATIONARITY TESTS WITH DEPENDENCE: A NOTE*24 cited
    • 2015Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence23 cited
    • 2010Does the nominal exchange rate regime affect the real interest parity condition?23 cited
    • 2003Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets23 cited
    • 2005The real exchange rate and real interest differentials: the role of nonlinearities22 cited
    • 2005Are international real interest rate linkages characterized by asymmetric adjustments?22 cited
    • 2010Interest differentials and extreme support for uncovered interest rate parity20 cited
    • 2007Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life15 cited
    • 2006The real exchange rate–real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration14 cited