6533b873fe1ef96bd12d552d
RESEARCH PRODUCT
TESTING FOR REAL INTEREST RATE PARITY USING PANEL STATIONARITY TESTS WITH DEPENDENCE: A NOTE*
Cecilio TamaritJosep Lluís Carrion-i-silvestreMariam Camarerosubject
Economics and Econometricsmedia_common.quotation_subjectEconomicsEconometricsUnit rootOecd countriesReal interest rateParity (mathematics)Interest ratemedia_commonFactor analysisPanel datadescription
In this paper we test for real interest parity (RIRP) among the 19 major OECD countries over the period 1978:Q1–2006:Q1 using both short- and long-run definitions of interest rates. Once the independence hypothesis is rejected among these series, we test for RIRP using panel data unit root and stationarity tests based on common factor models that allow for pervasive forms of dependence. Our results indicate that there is no evidence in favor of the weak version of the RIRP since one of the common factors that have been estimated is non-stationary.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2009-01-07 | The Manchester School |