6533b85bfe1ef96bd12bac7a

RESEARCH PRODUCT

New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks

Cecilio TamaritMariam CamareroJosep Lluís Carrion-i-silvestre

subject

Econometric methodsEconomicsEconometricsjel:F21jel:F32jel:C32Unit rootOecd countriesjel:C33Real interest rateParity (mathematics)Real interest rate parity economic integration panel data unit root tests structural breaks cross-section dependence

description

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfillment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

yearjournalcountryeditionlanguage
2006-12-01SSRN Electronic Journal
https://doi.org/10.2139/ssrn.1852169