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We examine the temporal dynamics of the historical series of real interest rates for France, Germany, Italy, Japan, the Netherlands, Spain pre‐1730 and post‐1800, the United Kingdom, and the United States stretching back to the 14th century. We use the Robinson approach to determine the fractional order of integration and examine both linear deterministic trends and multiple smooth breaks. In the...
This study investigates the predictability of 11 industrialized stock returns with emphasis on the role of U.S. returns. Using monthly data spanning 1980:2–2014:12, we show that there exist multiple structural breaks and nonlinearities in the data. Therefore, we employ methods that are capable of accounting for these and at the same time date stamping the periods of causal relationship between the...
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