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International Real Interest Rate Equalization: A Multivariate Time-Series Approach

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Author Info
Kugler, Peter
Neusser, K

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Abstract

This paper investigates the dynamic behavior of monthly ex post real interest rates from several countries over the period 1980 to 1991. It is found that real interest rates are stationary over this period and that deviations from real interest parity are significant in the short run but disappear in the long run. The latter evidence is established using the concept of co-dependent time series proposed by Gourieroux and Peaucelle (1989) for the analysis of multivariate stationary time series. Copyright 1993 by John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 8 (1993)
Issue (Month): 2 (April-June)
Pages: 163-74
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Handle: RePEc:jae:japmet:v:8:y:1993:i:2:p:163-74

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  1. WenLi Li & Pierre-Daniel Sarte, 2000. "Investigating fluctuations in U.S. manufacturing : what are the direct effects of informational frictions?," Working Paper 00-01, Federal Reserve Bank of Richmond. [Downloadable!]
  2. Pierre L. Siklos & Clive W.J. Granger, 1996. "Temporary Cointegration With an Application to Interest Rate Parity," University of California at San Diego, Economics Working Paper Series 96-11, Department of Economics, UC San Diego. [Downloadable!]
  3. Peter Kugler & Beatrice Weder, 2004. "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 301-325, September. [Downloadable!]
  4. Peter Kugler, 2000. "The common trend and common cycle of exports and the real exchange rate: Empirical results from Swiss data," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 127(1), pages 171-180, March. [Downloadable!] (restricted)
  5. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria. [Downloadable!]
  6. Nielsen, Morten Oe., . "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, School of Economics and Management, University of Aarhus. [Downloadable!]
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  7. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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