Real Interest Rate Parity in OECD Countries : New Evidence from Time Series and Panel Cointegration Techniques

We examine the existence of Real Interest Rate Parity (RIRP) for a number of Organisation for Economic Co-operation and Development (OECD) countries. Using time series techniques, we manage to identify cointegrating relationships. For a subset of countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP

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Year of publication:	2016
Authors:	Magonis, George
Other Persons:	Tsopanakis, Andreas (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	OECD-Staaten \| OECD countries \| Kointegration \| Cointegration \| Realzins \| Real interest rate \| Zeitreihenanalyse \| Time series analysis \| Zinsparität \| Interest rate parity \| Panel \| Panel study \| Schätzung \| Estimation
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics Letters, Vol. 20, No. 5, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 13, 2012 erstellt Volltext nicht verfügbar
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013007999