Are real interest rates cointegrated? A study of three OECD countries

References

• Chinn , M. and Frankel , J. 1995 . Who drives real interest rates around the Pacific rim: the USA or Japan? . Journal of International Money and Finance , 14 ( 6 ) : 801 – 821 .
   Web of Science ®Google Scholar
• Fleming , M. 1962 . Domestic financial legacies under fixed and under floating exchange rates . International Monetary Funds Staff Papers , 9 : 369 – 379 .
   Google Scholar
• Goodwin , B. K. and Grennes , T. J. 1994 . Real interest rate equalization and integration of financial markets . Journal of International Money and Finance , 13 : 107 – 124 .
   Web of Science ®Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , June–September : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , November : 1551 – 1580 .
   Web of Science ®Google Scholar
• Mishkin , F. 1984 . Are real interest rates equal across countries? An empirical investigation of international parity conditions . The Journal of Finance , December : 1345 – 1357 .
   Web of Science ®Google Scholar
• Mishkin , F. and Cumby , R. 1986 . The international linkage of real interest rates: the European-U.S. connections . Journal of International Money and Finance , March : 5 – 23 .
   Web of Science ®Google Scholar
• Mundell , R. 1963 . Capital mobility and stabilization policy under fixed and under flexible exchange rates . Canadian Journal of Economics and Political Science , 29 : 475 – 485 .
   Web of Science ®Google Scholar
• Osterwald-Lenum , M. 1992 . Practitioner's corner: a note with quantiles of the Asymptotic distribution of the maximum likelihood cointegration rank test statistics . Oxford Bulletin of Economics and Statistics , 53 ( 3 ) : 461 – 472 .
   Web of Science ®Google Scholar