A Non-Linear Analysis of Gibson’s Paradox
Keynes (1930) considered the Gibson’s relation as “most completely established empirical fact”. In contrast to the previous literature, this paper adopts a multivariate, nonlinear framework to analyse Gibson’s paradox in the Netherlands over the period 1800-2012. Specifically, SSA (Singular Spectrum Analysis) and MSSA (Multichannel Singular Spectrum Analysis) techniques are used. It is shown that changes in monetary policy regimes or volatility in the price of gold by themselves cannot account for the behaviour of government bond yields and prices over the last 200 years. However, the inclusio... Mehr ...
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Dokumenttyp: | Artikel |
Erscheinungsdatum: | 2018 |
Verlag/Hrsg.: |
Kaunas University of Technology
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Schlagwörter: | Gibson’s paradox / Singular spectrum analysis / Interest rates / Causality / The Netherlands |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-27197875 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | https://inzeko.ktu.lt/index.php/EE/article/view/20403 |