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

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

No CREAP2006-14, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

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

Keywords: Real interest rate parity; economic integration; panel data unit root tests; structural breaks; cross-section dependence (search for similar items in EconPapers)
JEL-codes: C32 C33 F21 F32 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2006-12, Revised 2006-12
New Economics Papers: this item is included in nep-cba
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http://www.xreap.cat/RePEc/xrp/pdf/CREAP2006-14.pdf First version, 2006 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/CREAP2006-14.pdf Revised version, 2006 (application/pdf)

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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) Downloads
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