New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

Mariam Camarero (), Josep Lluís Carrion-i-Silvestre () and Cecilio Tamarit

No 159, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: 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 fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

JEL-codes: F21 F32 C33 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-ets
Date: Written
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Working Paper: New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks (2006)
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