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The relationship between ináation and interest rates has also been conÖrmed by numerous studies. We can summarise the results obtained in four points. The Örst is that in the long run, this relationship is nonlinear. For example, Evans and Lewis (1995) represent the ináation dynamics with a Markov process to take into account some episodic changes. More recently and in a similar way, Lanne (2002) Önds, using a nonlinear bivariate mixture autoregressive model for the United States between 1952 and 2000, the presence of signiÖcant nonlinearities in the dynamics of nominal interest rate and ináation, while the real interest rate is stationary. Thus Lanne Önds a one-for-one relationship between. | Real Interest Rate Linkages Testing for Common Trends and Cycles Darren Pain and Ryland Thomas Bank of England Threadneedle Street London EC2R 8AH. The views expressed are those of the authors and do not necessarily reflect those of the Bank of England. We would like to thank Clive Briault Andy Haldane Paul Fisher Nigel Jenkinson Mervyn King and Danny Quah for helpful comments and Martin Cleaves for excellent research assistance. Issued by the Bank of England London EC2R 8AH to which requests for individual copies should be addressed envelopes should be marked for the attention of the Publications Group Telephone 0171-601 4030 . Bank of England 1997 ISSN 1368-5562 2 Contents Abstract 5 Introduction 7 I Common trends and cycles - econometric theory and method9 II Empirical results 17 III European short rates 22 IV Long-term real interest rates in the G3 31 V Conclusion 35 References 36
