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• W2072364757 abstract "Short-run and long-run dynamic linkages among weekly real interest rates for G-10 countries are examined using a variety of time-series tests. These tests give special attention to the time-series properties of nominal interest rates, ex-ante expected rates of inflation and real interest rates. Term structure information is used to recover a theoretically consistent measure of ex-ante expected inflation. In-sample and out-of-sample Granger causality tests are also examined to evaluate lead/lag relationships among real interest rates. The results provide strong support for well-integrated markets, particularly in the long run. The results imply leadership roles for the US in international asset markets." @default.
• W2072364757 created "2016-06-24" @default.
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• W2072364757 date "1998-12-01" @default.
• W2072364757 modified "2023-09-23" @default.
• W2072364757 title "Dynamic linkages among real interest rates in international capital markets" @default.
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• W2072364757 doi "https://doi.org/10.1016/s0261-5606(98)00032-1" @default.
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