Testing for real interest rate parity using panel stationarity tests with dependence: a note
Ver/ Abrir
Impacto
Scholar |
Otros documentos de la autoría: Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; Tamarit, Cecilio
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
Testing for real interest rate parity using panel stationarity tests with dependence: a noteFecha de publicación
2009Editor
Wiley-BlackwellISSN
1463-6786Cita bibliográfica
CAMARERO, Mariam; CARRION‐I‐SILVESTRE, Josep Lluis; TAMARIT, Cecilio. Testing for real interest rate parity using panel stationarity tests with dependence: a note. The Manchester School, 2009, vol. 77, no 1, p. 112-126.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1467-9957.2008.02090.xVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q1-2006:Q1 using both short and long-run definitions of interest rates. Once the independence hypothesis ... [+]
This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q1-2006:Q1 using both short and long-run definitions of interest rates. Once the independence hypothesis is rejected among these series, we test for RIRP using panel data unit root and stationarity tests based on common factor models that allow for pervasive forms of dependence. Our results indicate that there is no evidence in favor of the weak version of the RIRP since one of the common factors that have been estimated is non-stationary [-]
Publicado en
Manchester School, 2009, v. 77, n. 1Derechos de acceso
Aparece en las colecciones
- ECO_Articles [688]