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
Date Written: December 1, 2006
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: Suggested Citation