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RIP and the shift toward a monetary union: Looking for a “euro effect” by a structural break analysis with panel data

Listed author(s):
  • Samuel Maveyraud-Tricoire

    ()

    (GREThA - Groupe de Recherche en Economie Théorique et Appliquée - UB - Université de Bordeaux - CNRS - Centre National de la Recherche Scientifique)

  • Philippe Rous

    ()

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - UNILIM - Université de Limoges - IR SHS UNILIM - Institut Sciences de l'Homme et de la Société)

This paper aims to evaluate how the ex ante real interest rates of Euro area countries have been modified by the introduction of the euro. We use cointegration analysis with endogenous breaks in a panel data context. Our results show that the "euro effect" is significant in our sample and that after the introduction of the euro, the real interest parity (RIP) holds. This last conclusion is due to a decrease in the nominal interest rate differentials rather than to a reduction in goods and services price differentials and in the exchange rate volatility.

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File URL: https://hal.archives-ouvertes.fr/hal-01098936/document
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Paper provided by HAL in its series Post-Print with number hal-01098936.

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Date of creation: 2009
Publication status: Published in Journal of International Financial Markets, Institutions and Money, Elsevier, 2009, 19, pp.336 - 350. 〈10.1016/j.intfin.2008.01.005〉
Handle: RePEc:hal:journl:hal-01098936
DOI: 10.1016/j.intfin.2008.01.005
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01098936
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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