RIP and the shift toward a monetary union: Looking for a “euro effect” by a structural break analysis with panel data

Samuel Maveyraud and Philippe Rous ()
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Philippe Rous: LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges

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Abstract: This paper aims to evaluate how the ex ante real interest rates of Euro area countries have been modified by the introduction of the euro. We use cointegration analysis with endogenous breaks in a panel data context. Our results show that the "euro effect" is significant in our sample and that after the introduction of the euro, the real interest parity (RIP) holds. This last conclusion is due to a decrease in the nominal interest rate differentials rather than to a reduction in goods and services price differentials and in the exchange rate volatility.

Keywords: RIP; European integration; Panel data (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://hal.science/hal-01098936
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Citations: View citations in EconPapers (5)

Published in Journal of International Financial Markets, Institutions and Money, 2009, 19 (2), pp.336 - 350. ⟨10.1016/j.intfin.2008.01.005⟩

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Journal Article: RIP and the shift toward a monetary union: Looking for a "euro effect" by a structural break analysis with panel data (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01098936

DOI: 10.1016/j.intfin.2008.01.005

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