Interest rate linkages: a Kalman filter approach to detecting structural change
This paper investigates changes in the causal structure linking of the G-7 short-term rates by estimating time-varying speed of adjustment coefficients in error correction equations using a Kalman filter approach. This technique allows us to detect structural breaks in the causal linkages that gener...
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| Veröffentlicht in: | Economic modelling 2005-03, Vol.22 (2), p.253-284 |
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| container_title | Economic modelling |
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| creator | Barassi, Marco R. Caporale, Guglielmo Maria Hall, Stephen G. |
| description | This paper investigates changes in the causal structure linking of the G-7 short-term rates by estimating time-varying speed of adjustment coefficients in error correction equations using a Kalman filter approach. This technique allows us to detect structural breaks in the causal linkages that generate the cointegrating relations between the series. The testable hypotheses are the US world-wide leadership, the disengagement of UK monetary policy from those pursued in the Eurozone after the collapse of the ERM and the German leadership hypothesis (GLH) within the European Union (EU). The evidence points to a break in the causal linkages between the UK and other EU countries after the third–fourth quarter of 1992. The empirical results are also consistent with a US world-wide leadership and a weak German leadership within the Eurozone. |
| doi_str_mv | 10.1016/j.econmod.2003.12.005 |
| format | Article |
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| identifier | ISSN: 0264-9993 |
| ispartof | Economic modelling, 2005-03, Vol.22 (2), p.253-284 |
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| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Data analysis Econometric models Econometrics Economic conditions Empirical research Eurozone Interest rate linkages Interest rates Kalman filter Kalman filters Long-run causality Monetary economics Monetary policy Policy making Structural change Studies Transmission mechanism Weak exogeneity |
| title | Interest rate linkages: a Kalman filter approach to detecting structural change |
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