New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

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Title:	New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks
Author:	Camarero, Mariam; Carrión i Silvestre, Josep Lluís; Tamarit Escalona, Cecilio R.; Xarxa de Referència en Economia Aplicada (XREAP)
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 for.
Subject(s):	-Real interest rate parity -Economic integration -Panel data unit root tests -Structural breaks -Cross-section dependence -Tipus d'interès -Integració econòmica -Països de l'Organització de Cooperació i Desenvolupament Econòmic -1978-1998
Rights:	open access Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i la xarxa i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús https://creativecommons.org/licenses/by-nc-nd/2.5/
Document type:	Working paper
Published by:	Xarxa de Referència en Economia Aplicada (XREAP)
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Uri:	https://ddd.uab.cat/record/45498

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