首页 | 本学科首页   官方微博 | 高级检索  
     检索      


DOES REAL INTEREST RATE PARITY HOLD FOR OECD COUNTRIES? NEW EVIDENCE USING PANEL STATIONARITY TESTS WITH CROSS‐SECTION DEPENDENCE AND STRUCTURAL BREAKS
Authors:Mariam Camarero  Josep Lluís Carrion‐i‐Silvestre  Cecilio Tamarit
Institution:1. Jaume I University;2. University of Barcelona;3. University of Valencia
Abstract:This paper tests for real interest rate parity (RIRP) among the 17 major Organisation for Economic Cooperation and Development countries over the period 1978:Q1–2006:Q1. The econometric methods applied consist of combining the use of panel data tests that are valid under cross‐section dependence and the presence of multiple structural breaks. This feature is important because the misspecification errors due to not accounting for structural breaks and/or cross‐section dependence can lead to misleading conclusions. Our results support the fulfilment of the weak version of the RIRP for short‐term interest rate differentials once dependence and structural breaks are considered.
Keywords:
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号