Interest rate linkages: a Kalman filter approach to detecting structural change

Author:

Barassi Marco R.,Caporale Guglielmo Maria,Hall Stephen G.

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference36 articles.

1. The linkage of interest rates within the EMS;Artis;Weltwirtsch. Arch.,1998

2. Barassi, M.R., Caporale, G.M., Hall S.G., 2001a. Interest rates linkages: identifying structural relations. Discussion Paper 01-08, Department of Economics, University of Birmingham, UK

3. Barassi, M.R., Caporale G.M., Hall S.G., 2001b. Testing for Structural Changes in the Long-Run Causal Structure of Cointegrated Vector Autoregressions, D.P. 06-2001, Centre for Monetary and Financial Economics, South Bank University, London

4. Begg, D., Giavazzi, F., De Grauwe, P., Uhlig, H., Wyplosz C., 1998. The ECB: safe at any speed?, CEPR Report on Monitoring the European Central Bank

5. Interest rate convergence, capital controls, risk premia and foreign exchange rate market efficiency in the EMS;Caporale;J. Macroecon.,1996

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