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

  • Mariam Camarero


    (Departament d'Economia, Universitat Jaume I)

  • Josep Lluis Carrion-i-Silvestre


    (Grup de Recerca d'Anàlisi Quantitativa Regional (AQR), Institut de Recerca en Economia Aplicada (IREA), Departament d'Econometria, Estadística i Economia Espanyola, Universitat de Barcelona)

  • Cecilio Tamarit


    (Departament d'Economia Aplicada II, Universitat de València)

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 fulfillment 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 Xarxa de Referència en Economia Aplicada (XREAP) in its series Working Papers with number CREAP2006-14.

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Length: 51 pages
Date of creation: Dec 2006
Date of revision: Dec 2006
Handle: RePEc:xrp:wpaper:creap2006-14
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