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Does long-run real interest parity hold among EU countries? Some new panel data evidence

  • Holmes, Mark J.

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Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 42 (2002)
Issue (Month): 4 ()
Pages: 733-746

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Handle: RePEc:eee:quaeco:v:42:y:2002:i:4:p:733-746
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Cavaglia, Stefano, 1992. "The persistence of real interest differentials: A Kalman filtering approach," Journal of Monetary Economics, Elsevier, vol. 29(3), pages 429-443, June.
  2. Bennett T. McCallum, 2005. "Monetary policy and the term structure of interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-21.
  3. Sebastian Schich, 1999. "The information content of the German term structure regarding inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 9(4), pages 385-395.
  4. Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers 549, Stockholm - International Economic Studies.
  5. Mishkin, Frederic S, 1984. " Are Real Interest Rates Equal across Countries? An Empirical Investigation of International Parity Conditions," Journal of Finance, American Finance Association, vol. 39(5), pages 1345-57, December.
  6. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
  7. Philippe Jorion & Frederic Mishkin, 1991. "A Multi-Country Comparison of Term Structure Forecasts at Long Horizons," NBER Working Papers 3574, National Bureau of Economic Research, Inc.
  8. Mark Holmes & Yangru Wu, 1997. "Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 133(1), pages 76-89, March.
  9. MacDonald, Ronald & Taylor, Mark P, 1989. "Interest Rate Parity: Some New Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 41(4), pages 255-74, October.
  10. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  11. Guglielmo Caporale & Nikitas Pittis, 1993. "Common stochastic trends and inflation convergence in the EMS," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 129(2), pages 207-215, June.
  12. Stilianos Fountas & Jyh-lin Wu, 1998. "Testing for Real Interest Rate Convergence in European Countries," Working Papers 24, National University of Ireland Galway, Department of Economics, revised 1998.
  13. Coakley, Jerry & Fuertes, Ana Maria, 1997. "New panel unit root tests of PPP," Economics Letters, Elsevier, vol. 57(1), pages 17-22, November.
  14. Gerlach, Stefan, 1997. "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics, Springer, vol. 22(2), pages 161-79.
  15. Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
  16. Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-63, May.
  17. Moosa, Imad A & Bhatti, Razzaque H, 1996. "Some Evidence on Mean Reversion in ex ante Real Interest Rates," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(2), pages 177-91, May.
  18. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
  19. Jyh-Lin Wu & Show-Lin Chen, 1998. "A Re-examination of Real Interest Rate Parity," Canadian Journal of Economics, Canadian Economics Association, vol. 31(4), pages 837-851, November.
  20. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 105-132, February.
  21. Goodwin, Barry K. & Grennes, Thomas J., 1994. "Real interest rate equalization and the integration of international financial markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 107-124, February.
  22. Van Poeck, Andre & Van Gompel, Johan, 1994. "Dominant interest and inflation differentials within the EMS: A comment," European Economic Review, Elsevier, vol. 38(8), pages 1661-1663, October.
  23. Hafer, R W & Kutan, A M, 1994. "A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS," Economic Inquiry, Western Economic Association International, vol. 32(4), pages 684-95, October.
  24. Mussa, Michael, 1976. " The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 229-48.
  25. MacDonald, Ronald & Moore, Michael J., 2001. "The spot-forward relationship revisited: an ERM perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 29-52, March.
  26. Koedijk, Kees G & Kool, Clemens J M, 1995. "Future Inflation and the Information in International Term Structures," Empirical Economics, Springer, vol. 20(2), pages 217-42.
  27. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
  28. Nieuwland, Frederick G. M. C. & Verschoor, Willem F. C. & C.P. Wolff, Christian, 1998. "EMS exchange rate expectations and time-varying risk premia," Economics Letters, Elsevier, vol. 60(3), pages 351-355, September.
  29. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
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