Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/springer_journal/equality-of-real-returns-on-canadian-and-us-treasury-bills-a-Qa7AKuSCCv
References (41)
-
C. Chung, R. Baillie (1993)
Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA modelsEmpirical Economics, 18
-
Nelson Mark (1985)
A Note on International Real Interest Rate DifferentialsThe Review of Economics and Statistics, 67
-
R. Baillie (1996)
Long memory processes and fractional integration in econometricsJournal of Econometrics, 73
-
P. Fraser, Mark Taylor (1990)
Some efficient tests of international real interest rate parityApplied Economics, 22
-
R. Dahlhaus (1989)
Efficient parameter estimation for self-similar processesAnnals of Statistics, 17
-
W. Crowder, Dennis Hoffman (1996)
The Long Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation RevisitedJournal of Money, Credit and Banking, 28
-
R. Cumby, M. Obstfeld (1985)
International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence -
C. Granger (1980)
Long memory relationships and the aggregation of dynamic modelsJournal of Econometrics, 14
-
A. Parikh (1994)
Tests of real interest parity in international currency marketsJournal of Economics, 59
-
R. Baillie, T. Bollerslev (1994)
Cointegration, Fractional Cointegration, and Exchange Rate DynamicsJournal of Finance, 49
-
B. Goodwin, T. Grennes (1994)
Real interest rate equalization and the integration of international financial marketsJournal of International Money and Finance, 13
-
E. Fama, M. Gibbons (1982)
Inflation, real returns and capital investmentJournal of Monetary Economics, 9
-
Yin-Wong Cheung, K. Lai (1993)
A Fractional Cointegration Analysis of Purchasing Power ParityJournal of Business & Economic Statistics, 11
-
Bagher Modjtahedi (1988)
Dynamics of real interest differentials: An empirical investigationEuropean Economic Review, 32
-
P. `. Robinson (1990)
Advances in Econometrics -
John Geweke, S. Porter-Hudak (1983)
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELSJournal of Time Series Analysis, 4
-
J. Frankel (1979)
On the Mark: A Theory of Floating Exchange Rates Based on Real Interest DifferentialsThe American Economic Review, 69
-
John Merrick, A. Saunders (1986)
International expected real interest rates: New tests of the parity hypothesis and U.S. fiscal policy effectsJournal of Monetary Economics, 18
-
R. Cumby, Frederic Mishkin (1984)
The International Linkage of Real Interest Rates: the European - U.S. Connection -
N. C. `. Mark (1985)
Some Evidence on the International Inequality Real Interest RatesJournal of International Money and Finance, 4
-
Fallaw Sowell (1992)
Maximum likelihood estimation of stationary univariate fractionally integrated time series modelsJournal of Econometrics, 53
-
D. Dickey, W. Fuller (1981)
LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOTEconometrica, 49
-
R. Engle, C. Granger (1987)
Co-integration and error correction: representation, estimation and testingEconometrica, 55
-
C. Chung (1996)
A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESSJournal of Time Series Analysis, 17
-
Carl Bonham (1991)
Correct cointegration tests of the long-run relationship between nominal interest and inflationApplied Economics, 23
-
S. Cavaglia (1992)
The persistence of real interest differentials: A Kalman filtering approachJournal of Monetary Economics, 29
-
C.W.J. Granger, R. Joyeux (1980)
An Introduction to Long Memory Time Series Models and Fractional DifferencingJournal of Time Series Analysis, 1
-
U. Hassler, J. Wolters (1994)
On the power of unit root tests against fractional alternativesEconomics Letters, 45
-
C. Chatfield, W. Fuller (1976)
Introduction to Statistical Time Series., 140
-
Bagher Modjtahedi (1987)
An Empirical Investigation into the International Real Interest Rate LinkagesCanadian Journal of Economics, 20
-
Frederic Mishkin (1982)
Are Real Interest Rates Equal Across Countries? an Empirical Investigation of International Parity Conditions -
W. Gaab, M. Granziol, M. Horner (1986)
On some international parity conditions : An empirical investigationEuropean Economic Review, 30
-
J. `. Hosking (1981)
Fractional DifferencingBiometrika, 68
-
P. Owen (1993)
Cointegration analysis of the Fisher hypothesis: the role of the real rate and the Fisher identityApplied Financial Economics, 3
-
R.E. Cumby, M. Obstfeld (1984)
Exchange Rate Theory and Practice -
R. Fox, M. Taqqu (1986)
Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time SeriesAnnals of Statistics, 14
-
Marilyn Dutton (1993)
Real interest rate parity new measures and testsJournal of International Money and Finance, 12
-
A. Patel, Srinivas Akella (1996)
An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate periodReview of Quantitative Finance and Accounting, 6
-
P. Robinson (1994)
Advances in Econometrics: Time series with strong dependence -
P. Kugler (1993)
International Real Interest Rate Equalization: A Multivariate Time Series Approach -
E. Fama (1975)
Short-Term Interest Rates as Predictors of InflationThe American Economic Review, 65
- Publisher
- Springer Journals
- Copyright
- Copyright © 1999 by Kluwer Academic Publishers
- Subject
- Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
- ISSN
- 0924-865X
- eISSN
- 1573-7179
- DOI
- 10.1023/A:1008352504777
- Publisher site
- See Article on Publisher Site
Abstract
This paper empirically analyzes the long memory relationship between the real returns on Canadian and US Treasury bills. A fractional cointegration approach, instead of conventional integer integration (unit root) and cointegration approaches, is used in analyzing the relationship. The advantage of fractionally integrated models is that they allow a smooth transition from a stationary process to a unit-root process. Furthermore, such models embody unit-root models as a special case. The models are therefore more general and appropriate for empirical analysis. By using fractionally integrated models, one also resolves the problems of an inconsistency in test results associated with using unit root and cointegration approaches. Briefly, it is found that the real returns on Canadian and US Treasury bills are fractionally integrated and the order of integration is significantly less than unity. Furthermore, the difference between the real returns follows a stationary process. This indicates that the Canadian and the US capital markets as well as product markets are well integrated. Furthermore, the domestic monetary authorities will not be able to influence the domestic real interest rate independent of the other market in the long-run.
Journal
Review of Quantitative Finance and Accounting – Springer Journals
Published: Sep 30, 2004