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Journal of the American Statistical Association Volume 83, 1988 - Issue 403
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Application and Case Study

A Model for Ex Ante Real Interest Rates and Derived Inflation Forecasts

Terrence Kinal Department of Economics, State University of New York, Albany, NY, 12222, USA
&
Kajal Lahiri Department of Economics, State University of New York, Albany, NY, 12222, USA
Pages 665-673 | Received 01 Feb 1986, Published online: 12 Mar 2012

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Zhuying Xu, Seonjin Kim & Zhibiao Zhao. (2022) Locally Stationary Quantile Regression for Inflation and Interest Rates. Journal of Business & Economic Statistics 40:2, pages 838-851.
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Lawrence Adu Asamoah & George Adu. (2016) An Empirical Analysis of the Determinants of Interest Rates in Ghana. Journal of African Business 17:3, pages 377-396.
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Li-Hsueh Chen. (2001) A model for ex ante real interest rates. Applied Economics Letters 8:11, pages 713-718.
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Li-Hsueh Chen. (2001) Inflation and real short-term interest rates - A Kalman filter analysis of the term structure. Applied Economics 33:7, pages 855-861.
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ELIAS TZAVALIS. (1999) A common shift in real interest rates across countries. Applied Financial Economics 9:4, pages 365-369.
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James E. Payne & Bradley T. Ewing. (1997) Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis. Applied Economics Letters 4:11, pages 683-687.
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K. M. Hawtrey. (1997) The Fisher effect and Australian interest rates. Applied Financial Economics 7:4, pages 337-346.
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Paramsothy Silvapulle. (1994) Testing for ar(1) against ima(1,1) disturbances in the linear regression model. Communications in Statistics - Theory and Methods 23:3, pages 701-720.
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Brett Inder & Param Silvapulle. (1993) Does the Fisher effect apply in Australia?. Applied Economics 25:6, pages 839-843.
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Paramsothy Silvapulle & MaxwellL. King. (1991) Testing Moving Average Against Autoregressive Disturbances in the Li near-Reg ression Model. Journal of Business & Economic Statistics 9:3, pages 329-335.
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Articles from other publishers (8)

Pilar Poncela & Eva Senra. (2016) Measuring uncertainty and assessing its predictive power in the euro area. Empirical Economics 53:1, pages 165-182.
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Pierre Nguimkeu. (2016) An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models. Journal of Time Series Econometrics 8:1.
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Nezir Kose, Furkan Emirmahmutoglu & Sezgin Aksoy. (2012) The interest rate–inflation relationship under an inflation targeting regime: The case of Turkey. Journal of Asian Economics 23:4, pages 476-485.
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Hugo Benítez-Silva, Debra S. Dwyer, Wayne-Roy Gayle & Thomas J. Muench. (2007) Expectations in micro data: rationality revisited. Empirical Economics 34:2, pages 381-416.
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Detelina Ivanova, Kajal Lahiri & Franz Seitz. (2000) Interest rate spreads as predictors of German inflation and business cycles. International Journal of Forecasting 16:1, pages 39-58.
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Giulio Cifarelli. (1995) Fundamentals, regime shifts, and dollar behavior in the 1980s. Open Economies Review 6:1, pages 29-48.
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Kajal Lahiri. 1993. Econometrics. Econometrics 721 737 .
Detelina Ivanova, Kajal Lahiri & Franz Seitz. (1999) Interest Rate Spreads as Predictors of German Inflation and Business Cycles. SSRN Electronic Journal.
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