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.
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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).
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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.
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