A non-linear analysis of Gibson's paradox in the Netherlands, 1800-2012

Caporale, Guglielmo Maria and Škare, Marinko (2014) A non-linear analysis of Gibson's paradox in the Netherlands, 1800-2012. Centre for International Capital Markets discussion papers, 2014 (05). pp. 1-33. ISSN 1749-3412

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Abstract

This paper adopts a multivariate, non-linear framework to analyse Gibson’s paradox in the Netherlands over the period 1800-2012. Specifically, SSA (singular spectrum) and MSSA (multichannel singular spectrum) 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 in the Netherlands over the last 200 years. However, the inclusion of changes in the real rate of return on capital, M1, primary credit rate, expected inflation, and money purchasing power enables a nonlinear model to account for a sizeable percentage of the total variance of Dutch bond yields.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; Gibson’s paradox; (multichannel) singular spectrum analysis; interest rates; causality; Netherlands
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 16 Apr 2015 11:53
Last Modified: 17 Apr 2015 09:39
URI: http://repository.londonmet.ac.uk/id/eprint/371

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