Is there a nonlinear long-run relation in the U.S. interest rate and inflation?

Hwa-taek Lee (htlee@ksd.or.kr), Venus Liew and Gawon Yoon (gyoon@kookmin.ac.kr)
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Hwa-taek Lee: Korea Securities Depository
Gawon Yoon: Kookmin University

Economics Bulletin, 2013, vol. 33, issue 1, 104-112

Abstract: Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also provide simulation results regarding the performance of the rank tests for some plausible nonlinear models for the data.

Keywords: (Nonlinear) cointegration; Rank tests; Interest rate; Inflation (search for similar items in EconPapers)
JEL-codes: C1 E4 (search for similar items in EconPapers)
Date: 2013-01-14
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