Nonlinear dynamics of interest rate and inflation

Preprint OPEN
Lanne , Markku;
(2002)
  • Subject: nonlinear models, interest rate, inflation, cointegration analysis | nonlinear models; interest rate; inflation; cointegration analysis
    • jel: jel:E43 | jel:C32

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, w... View more
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