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Real Interest Rate Parity under Regime Shifts: Evidence for Industrial Countries

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

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Abstract

We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression analysis and standard cointegration tests, our innovative approach provides strong evidence in favour of bilateral real interest rate convergence between the US and several contries in our sample, in particular for short-term interest rates.

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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 30.

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Length: 20 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:galeco:30

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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: INTERNATIONAL FINANCIAL MARKET ; FINANCIAL MARKET ; INTEREST RATE;

Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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