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

Posted: 22 Aug 2012

See all articles by George Magonis

George Magonis

National and Kapodistrian University of Athens

Andreas Tsopanakis

Cardiff University - Cardiff Business School

Date Written: August 13, 2012

Abstract

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

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

George Magonis (Contact Author)

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece

Andreas Tsopanakis

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

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