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New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

  • Mariam Camarero
  • Josep Lluis Carrion Silvestre
  • Cecilio Tamarit

    (Universitat de Barcelona)

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 159.

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Length: 48 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:bar:bedcje:2006159
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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