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The time-series properties of Norweigan inflation and nominal interest rate
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2009 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, no 10, 1303-1309 p.Article in journal (Refereed) Published
Abstract [en]

This article investigates the time-series properties of Norwegian inflation and nominal interest rate using annual data from 1850 to 2004. A number of different univariate unit-root tests are employed to examine whether the time series are mean reverting or generated by unit-root processes. Results show very strong evidence in favour of mean reversion in inflation but a unit root in the nominal interest rate. This implies that there exists no long-run relationship between these two variables, a conclusion which is further supported by cointegration tests and estimated vector error correction models. The cointegration analysis also points to an important potential pitfall when using cointegration techniques on systems where some variables are stationary processes.

Place, publisher, year, edition, pages
2009. Vol. 41, no 10, 1303-1309 p.
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URN: urn:nbn:se:uu:diva-132101DOI: 10.1080/00036840701537828ISI: 000265286300012OAI: oai:DiVA.org:uu-132101DiVA: diva2:356940
Available from: 2010-10-14 Created: 2010-10-14 Last updated: 2010-12-29Bibliographically approved

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