New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks

XREAP No. 2006-14

51 Pages Posted: 1 Jun 2011

See all articles by Mariam Camarero

Mariam Camarero

Jaume I University - Department of Economics

Josep Lluís Carrion-i-Silvestre

University of Barcelona - Department of Econometrics

Cecilio R. Tamarit

University of Valencia - Department of Applied Economics

Date Written: December 1, 2006

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 or.

Keywords: Real interest rate parity, economic integration, panel data unit root tests, structural breaks, cross-section dependence

JEL Classification: C32, C33, F21, F32

Suggested Citation

Camarero Olivas, María Amparo (Mariam) and Carrion-i-Silvestre, Josep Lluís and Tamarit Escalona, Cecilio R., New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks (December 1, 2006). XREAP No. 2006-14. Available at SSRN: https://ssrn.com/abstract=1852169 or http://dx.doi.org/10.2139/ssrn.1852169

María Amparo (Mariam) Camarero Olivas (Contact Author)

Jaume I University - Department of Economics ( email )

Campus del Riu Sec.
E-12071 Castellon
Spain

Josep Lluís Carrion-i-Silvestre

University of Barcelona - Department of Econometrics ( email )

Av. Diagonal 690
Barcelona, E-08034
Spain

Cecilio R. Tamarit Escalona

University of Valencia - Department of Applied Economics ( email )

4F04 Edificio Departamental Oriental
P.O. Box 22.006
Valencia, 33006
Spain
+34-963828349 (Phone)
+34-963828354 (Fax)

HOME PAGE: http://www.uv.ed/~tamac/

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