International Real Interest Rate Equalization: A Multivariate Time Series Approach
AbstractThis 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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Vienna, Department of Economics in its series Vienna Economics Papers with number vie9003.
Date of creation: Mar 1990
Date of revision:
Publication status: published in Journal of Applied Econometrics 8 (1993).
Contact details of provider:
Web page: http://www.univie.ac.at/vwl
Other versions of this item:
- Kugler, Peter & Neusser, K, 1993. "International Real Interest Rate Equalization: A Multivariate Time-Series Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(2), pages 163-74, April-Jun.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 675-689, December.
- 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.
- Nannette Lindenberg & Frank Westermann, 2009.
"Common Trends and Common Cycles among Interest Rates of the G7-Countries,"
77, Institute of Empirical Economic Research.
- Lindenberg, Nannette & Westermann, Frank, 2012. "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1125-1140.
- Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series 2532, CESifo Group Munich.
- Simpson, J.L. & Evans, J.P., 2005. "Systemic risk in the major Eurobanking markets: Evidence from inter-bank offered rates," Global Finance Journal, Elsevier, vol. 16(2), pages 125-144, December.
- Kugler, Peter, 1999. "Price level trend-stationarity and the instruments and targets of monetary policy: An empirical note," Economics Letters, Elsevier, vol. 63(1), pages 97-101, April.
- 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. 136(1), pages 171-180, March.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000.
"Testing for Common Cyclical Features in Nonstationary Panel Data Models,"
CESifo Working Paper Series
248, CESifo Group Munich.
- Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2000. "Testing for common cyclical features in nonstationary panel data models," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5778, Maastricht University.
- Kugler, Peter & Weder di Mauro, Beatrice, 2004.
"International Portfolio Holdings and Swiss Franc Asset Returns,"
CEPR Discussion Papers
4467, C.E.P.R. Discussion Papers.
- 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.
- Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
- Shafik, Nemat & Jalali, Jalaleddin, 1991. "Are high real interest rates bad for world economic growth?," Policy Research Working Paper Series 669, The World Bank.
- 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.
- Beine, Michel & Hecq, Alain, 1998.
"Codependence and Convergence in the EC Economies,"
Journal of Policy Modeling,
Elsevier, vol. 20(4), pages 403-426, August.
- Beine, Michel & Hecq, Alain, 1998. "Codependence and convergence in the EC economies," Open Access publications from Maastricht University urn:nbn:nl:ui:27-15785, Maastricht University.
- Michel Beine & Alain Hecq, 1998. "Codependence and convergence in the EC economies," ULB Institutional Repository 2013/10463, ULB -- Universite Libre de Bruxelles.
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Morten �rregaard Nielsen, 2005.
"Multivariate Lagrange Multiplier Tests for Fractional Integration,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 3(3), pages 372-398.
- Nielsen, Morten Oe., . "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, School of Economics and Management, University of Aarhus.
- Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
- Keshab Shrestha & Kok Tan, 2005. "Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 139-157, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paper Administrator).
If references are entirely missing, you can add them using this form.