Are international real interest rate linkages characterized by asymmetric adjustments? Export

@article{citeulike:882596, abstract = {This study tests for asymmetries in the adjustment mechanism towards real interest parity using monthly data over the period 1973-2004 for the U.S. and a sample of other OECD economies. There is stronger evidence of long-run cointegrating relationships when an explicit distinction is made between decreasing and increasing deviations from equilibrium. The speed of mean-reversion tends to be fastest when momentum gathers for increasing rather than decreasing deviations. This evidence is consistent with asymmetric monetary policy responses where close linkages with respect to the U.S. are likely to be less prevalent in a regime of rising nominal interest rates and falling inflation.}, author = {Holmes, Mark J. and Maghrebi, Nabil}, citeulike-article-id = {882596}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.intfin.2005.06.001}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VGT-4H21NBV-2/2/884bb9a6c683b0cbeab9179a622981bf}, doi = {10.1016/j.intfin.2005.06.001}, journal = {Journal of International Financial Markets, Institutions and Money}, keywords = {econometrics, interest}, month = {October}, number = {4}, pages = {384--396}, posted-at = {2006-10-03 13:46:29}, priority = {2}, title = {Are international real interest rate linkages characterized by asymmetric adjustments?}, url = {http://dx.doi.org/10.1016/j.intfin.2005.06.001}, volume = {16}, year = {2006} }

TY - JOUR ID - citeulike:882596 L3 - citeulike-article-id:882596 N2 - This study tests for asymmetries in the adjustment mechanism towards real interest parity using monthly data over the period 1973-2004 for the U.S. and a sample of other OECD economies. There is stronger evidence of long-run cointegrating relationships when an explicit distinction is made between decreasing and increasing deviations from equilibrium. The speed of mean-reversion tends to be fastest when momentum gathers for increasing rather than decreasing deviations. This evidence is consistent with asymmetric monetary policy responses where close linkages with respect to the U.S. are likely to be less prevalent in a regime of rising nominal interest rates and falling inflation. IS - 4 JF - Journal of International Financial Markets, Institutions and Money EP - 396 TI - Are international real interest rate linkages characterized by asymmetric adjustments? VL - 16 SP - 384 KW - econometrics KW - interest AU - Holmes, Mark AU - Maghrebi, Nabil PY - 2006/10// UR - http://dx.doi.org/10.1016/j.intfin.2005.06.001 ER -