GBY and TBR remained significantly above second sub-sample average levels in the U.
Third sub-sample evidence consistent with the hypothesis was observed in five cases: the Netherlands and Switzerland: three nominal yields and inflation were significantly lower; the UK: significantly higher average GBY and TBR were accompanied by significantly higher inflation.
54 percentage point decrease in the GBY, but was significantly different from a 3.
and Canada: GBY and TBR increased significantly in the face of a significant decrease in inflation; France: GBY and TBR did not change in the face of a significant decrease in the rate of inflation; Germany: GBY and TBR did not change in the face of a significant decrease in inflation; Germany: fourth sub-sample: TBR exhibited no change in the face of a significant decrease in inflation.
If an OLS cointegrating regression (COIR) of the GBY (TBR) on [delta]CPI and the Proxy produces a non-unit root, stationary residual series, this is evidence that three parent series are cointegrated despite each containing a unit root.
3) tests for the presence of a unit root in GBY, TBR, LNCPI, LNM2, and the Proxy.
were the bivariate results consistent with the S&S findings: GBY and TBR were noncointegrated with either Proxy 1 or Proxy 2, but were cointegrated with the rate of inflation.
GBY and TBR refer to the government bond yield and treasury bill rate, respectively.
The F-ratio for the Netherlands, column 5, reports no significant increase in the second over the first sub-sample variance of the GBY.