Real Interest Rate Parity in OECD Countries: New Evidence from Time Series and Panel Cointegration Techniques
Posted: 22 Aug 2012
Date Written: August 13, 2012
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.
Keywords: real interest rate parity, cointegration, structural break, panel cointegration
JEL Classification: E43, C22, C23
Suggested Citation: Suggested Citation
Magonis, George and Tsopanakis, Andreas, Real Interest Rate Parity in OECD Countries: New Evidence from Time Series and Panel Cointegration Techniques (August 13, 2012). Applied Economics Letters, Vol. 20, No. 5, 2013, Available at SSRN: https://ssrn.com/abstract=2134413
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