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Testing for Real Interest Rate Convergence in European Countries

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Author Info
Fountas, S,
Wu, J.L.

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Abstract

We use cointegration tests that determine endogenously the regime shift ot test for bilateral short-term and long-term real interest rate convergence in the European Monetary System in the 1979-993 period.

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Publisher Info
Paper provided by National University of Ireland, Galway - Department of Economics in its series Department of Economics with number 24.

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Length: 27 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:galeco:24

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Postal: National University of Ireland, Galway - Department of Economics.
Phone: +353-91 524411 ext. 2501
Fax: +353-91 524130
Web page: http://economics.nuigalway.ie/
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Related research
Keywords: INTEREST RATE ; FINANCIAL POLICY;

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

Cited by:
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  1. Isabel Vieira, 2003. "Evaluating capital mobility in the EU: a new approach using swaps data," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 514-532, October. [Downloadable!] (restricted)
  2. Christian Upper & Andreas Worms, 2003. "Real long-term interest rates and monetary policy: a cross-country perspective," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 234-257 Bank for International Settlements. [Downloadable!]
  3. George Bagdatoglou & Alexandros Kontonikas, 2009. "A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks," Working Papers 2009_17, Department of Economics, University of Glasgow. [Downloadable!]
  4. Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas, 2007. "Do real interest rates converge? Evidence from the European Union," Working Papers 2007_21, Department of Economics, University of Glasgow. [Downloadable!]
    Other versions:
  5. Baharumshah, Ahmad Zubaidi & Aggarwal, Raj & Chan, Tze-Haw, 2005. "East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests," MPRA Paper 2023, University Library of Munich, Germany, revised 2007. [Downloadable!]
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  6. 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. 140(III), pages 301-325, September. [Downloadable!]
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  7. Aslan, Alper, 2008. "Türkiye’de Suç Oranları Sürekliliğinin Analizi," MPRA Paper 10610, University Library of Munich, Germany. [Downloadable!]
  8. Martin O'Brien, 2007. "Real Interest Parity in the EU and the Consequences for Euro Area Membership: Panel Data Evidence, 1979-2005," Papers WP183, Economic and Social Research Institute (ESRI). [Downloadable!]
  9. Somchai Amornthum & Carl Bonham, 2008. "Financial Integration in the Pacific Basin Region: RIP by PANIC Attack?," Working Papers 200802, University of Hawaii at Manoa, Department of Economics. [Downloadable!]
  10. Christian Dreger & Christian Schumacher, 2003. "Are Real Interest Rates Cointegrated? Further evidence based on paneleconometric methods," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 41-53, March. [Downloadable!]
  11. Christian Dreger, 2008. "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Discussion Papers of DIW Berlin 819, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  12. Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004. "The long memory story of ex post real interest rates. Can it be supported?," Econometrics 0404004, EconWPA. [Downloadable!]
  13. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
    Other versions:
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