Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques

Magkonis, G; Tsopanakis, A

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.

Citation

Magkonis, G., & Tsopanakis, A. (2013). Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques. Applied Economics Letters, 20(5), 476-479. https://doi.org/10.1080/13504851.2012.667540

• Journal Article Type: Article
• Online Publication Date: Aug 13, 2013
• Publication Date: Jan 1, 2013
• Deposit Date: Sep 9, 2014
• Journal: Applied Economics Letters
• Print ISSN: 1350-4851
• Electronic ISSN: 1466-4291
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 20
• Issue: 5
• Pages: 476-479
• DOI: https://doi.org/10.1080/13504851.2012.667540
• Publisher URL: http://dx.doi.org/10.1080/13504851.2012.667540
• Related Public URLs: http://www.tandfonline.com/toc/rael20/current#.VA7_PKK5HTo