Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques

被引：4

作者：

Magonis, George ^{[1
]}

Tsopanakis, Andreas ^{[2
]}

机构：

[1] Univ Athens, Dept Econ, Athens 10559, Greece

[2] Univ Glasgow, Dept Econ, Glasgow G12 8RT, Lanark, Scotland

来源：

APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 05期

关键词：

real interest rate parity; cointegration; structural break; panel cointegration; UNIT-ROOT; MODELS; TESTS;

D O I：

10.1080/13504851.2012.667540

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the existence of Real Interest Rate Parity (RIRP) for a number of Organisation for Economic Co-operation and Development (OECD) countries. Using time series techniques, we manage to identify cointegrating relationships. For a subset of countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP.

引用

页码：476 / 479

页数：4

共 17 条

[1] Arghyrou MichaelG., 2009, Journal of International Financial Markets, Institutions and Money, V19, P447, DOI [DOI 10.1016/J.INTFIN.2008.05.004, 10.1016/j.intfin.2008.05.004]
[2] Computation and analysis of multiple structural change models
Bai, J
Perron, P
[J]. JOURNAL OF APPLIED ECONOMETRICS, 2003, 18 (01) : 1 - 22
[3] Estimating and testing linear models with multiple structural changes
Bai, JS
Perron, P
[J]. ECONOMETRICA, 1998, 66 (01) : 47 - 78
[4] Testing the null of cointegration with structural breaks
Carrion-I-Silvestre, Josep Lluis
Sanso, Andreu
[J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2006, 68 (05) : 623 - 646
[5] Why are real interest rates not equalized internationally?
Chung, SY
Crowder, WJ
[J]. SOUTHERN ECONOMIC JOURNAL, 2004, 71 (02) : 441 - 458
[6] Efficient tests for an autoregressive unit root
Elliott, G
Rothenberg, TJ
Stock, JH
[J]. ECONOMETRICA, 1996, 64 (04) : 813 - 836
[7] Does the real interest parity hypothesis hold?: Evidence for developed and emerging markets
Ferreira, Alex Luiz
Leon-Ledesma, Miguel A.
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2007, 26 (03) : 364 - 382
[8] Holmes M., 2006, J INT FINANC MARK I, V16, P384, DOI DOI 10.1016/J.INTFIN.2005.06.001
[9] Real interest rate convergence under the euro
Jenkins, Michael A.
Madzharova, Petya
[J]. APPLIED ECONOMICS LETTERS, 2008, 15 (06) : 473 - 476
[10] Kwiatkowski D., 1992, J ECONOMETRICS, V54, P169

← 1 2 →