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Real interest rates linkages between the USA and the UK in the postwar period

Kanas, Angelos, Tsiotas, Georgios (2005) Real interest rates linkages between the USA and the UK in the postwar period. International Journal of Finance and Economics, 10 (3). pp. 251-262. ISSN 1076-9307. (doi:10.1002/ijfe.271) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1002/ijfe.271

Abstract

This paper addresses the issue of real interest rate linkages between the UK and the USA during the postwar period. We use 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. Copyright © 2005 John Wiley & Sons, Ltd.

Item Type: Article
DOI/Identification number: 10.1002/ijfe.271
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, Regional Analysis Division, 74100 Rethymnon, Crete, Greece [Field not mapped to EPrints] JA - Int. J. Financ. Econ. [Field not mapped to EPrints]
Uncontrolled keywords: Real interest rates; bivariate Markov regime switching; capital market integration; regime-dependent Granger causality
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 11:58 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41133 (The current URI for this page, for reference purposes)
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