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Real-time estimation of the equilibrium real interest rate: Evidence from Japan

✍ Scribed by Umino, Shingo

Book ID
122237336
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
704 KB
Volume
28
Category
Article
ISSN
1062-9408

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## Abstract This paper investigates the existence of threshold cointegration between real exchange rates and real interest rate differentials. Unlike previous work, which generally fails to find evidence of a long‐run relationship employing linear models, we employ tests of the null hypothesis of n