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Real interest rates linkages between the USA and the UK in the postwar period

✍ Scribed by Angelos Kanas; Georgios Tsiotas

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
151 KB
Volume
10
Category
Article
ISSN
1076-9307

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✦ Synopsis

This paper addresses the issue of real interest rate linkages between the UK and the USA during the postwar period. We use a bivariate Markov switching vector error correction model, which accounts for both the regime switches in the real interest rates and their long-run cointegration properties over that period. We find strong evidence of two volatility regimes, namely a high-volatility and a low-volatility regime, jointly characterizing the US and the UK real interest rates. Evidence is found of high-volatility regime dependence between the two real interest rates. In addition, there is evidence of regime-dependent Granger causality: the US real interest rate Granger causes the UK only in the regime of high volatility.

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