On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data
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- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2025. "On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data," Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 790-804, February.
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More about this item
Keywords
TVP-VAR; dynamic connectedness; extended joint connectedness; real interest rate dynamics;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2022-03-07 (Central Banking)
- NEP-HIS-2022-03-07 (Business, Economic and Financial History)
- NEP-MAC-2022-03-07 (Macroeconomics)
- NEP-MON-2022-03-07 (Monetary Economics)
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