Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71237
Authors: 
Jumah, Adusei
Kunst, Robert M.
Year of Publication: 
2002
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 109
Abstract: 
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean reversion is active only conditional on certain threshold values in the observed variables. We investigate whether findings of such effects can be exploited for interest rate prediction.
Subjects: 
nonlinear time series
Fisher equation
yield spread
forecasting
JEL: 
C32
C53
E43
Document Type: 
Working Paper

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