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Applied Financial Economics Volume 12, 2002 - Issue 6
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Original Articles

Asymmetric dynamics in UK real interest rates

Jerry Coakley University of Essex, Department of Accounting, Finance and Management, Wivenhoe Park, Colchester CO4 3SQ
&
Ana-Maria Fuertes City University Business School, Department of Accounting and Finance, Frobisher Crescent, Barbican Centre, London EC2Y 8HB
Pages 379-387 | Published online: 07 Oct 2010

Citations (18)

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Read on this site (5)

David G. McMillan & Mark E. Wohar. (2010) An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear. Applied Financial Economics 20:22, pages 1697-1707.
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SalahA. Nusair. (2009) Non-linear Co-integration between Nominal Interest Rates and Inflation: An Examination of the Fisher Hypothesis for Asian Countries. Global Economic Review 38:2, pages 143-159.
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Andreas Behr. (2007) A rolling MTAR model to test for efficient stock pricing and asymmetric adjustment. Applied Financial Economics 17:18, pages 1479-1487.
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Chikashi Tsuji. (2007) Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model. Applied Financial Economics Letters 3:2, pages 77-83.
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Choong Tze Chua, Winston T. H. Koh & Krishna Ramaswamy. (2005) Comparing returns of US treasuries versus equities: implications for market and portfolio efficiency. Applied Financial Economics 15:17, pages 1213-1218.
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Articles from other publishers (13)

Andrew Phiri & Lutho Mbekeni. (2021) Fisher’s hypothesis, survey-based expectations and asymmetric adjustments: Empirical evidence from South Africa. International Economics and Economic Policy 18:4, pages 825-846.
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Khalid M. Kisswani & Salah A. Nusair. (2013) Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries. Economic Change and Restructuring 47:3, pages 155-186.
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Khalid M. Kisswani & Salah A. Nusair. (2013) Non-linearities in the dynamics of oil prices. Energy Economics 36, pages 341-353.
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David G. McMillan. (2009) Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries. Journal of International Financial Markets, Institutions and Money 19:2, pages 258-273.
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Angelos Kanas. (2008) On real interest rate dynamics and regime switching. Journal of Banking & Finance 32:10, pages 2089-2098.
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Mark J. Holmes & Nabil Maghrebi. (2006) Are international real interest rate linkages characterized by asymmetric adjustments?. Journal of International Financial Markets, Institutions and Money 16:4, pages 384-396.
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Jerry Coakley & Ana-Maria Fuertes. (2006) Testing for sign and amplitude asymmetries using threshold autoregressions. Journal of Economic Dynamics and Control 30:4, pages 623-654.
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MARK J. HOLMES & PING WANG. (2005) DO AFRICAN COUNTRIES MOVE ASYMMETRICALLY TOWARDS PURCHASING POWER PARITY?. The South African Journal of Economics 73:2, pages 292-301.
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Nicolas Million. (2004) Central Bank's interventions and the Fisher hypothesis: a threshold cointegration investigation. Economic Modelling 21:6, pages 1051-1064.
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David G. McMillan. (2004) Non‐Linear Error Correction: Evidence for UK Interest Rates. The Manchester School 72:5, pages 626-640.
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Jerry Coakley, Ana‐Maria Fuertes & Andrew Wood. (2004) A new interpretation of the exchange rate–yield differential nexus. International Journal of Finance & Economics 9:3, pages 201-218.
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Jerry Coakley, Ana-Mar??a Fuertes & Mar??a-Teresa P?rez. (2003) Numerical issues in threshold autoregressive modeling of time series. Journal of Economic Dynamics and Control 27:11-12, pages 2219-2242.
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Ana-Maria Fuertes, Shelagh A. Heffernan & Elena Kalotychou. (2007) Nonlinearity in the British Interest Rate Transmission Mechanism. SSRN Electronic Journal.
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