Abstract
We examine the existence of Real Interest Rate Parity (RIRP) for a number of Organisation for Economic Co-operation and Development (OECD) countries. Using time series techniques, we manage to identify cointegrating relationships. For a subset of countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP.
Notes
1 Some representative papers from this strand of the literature are the ones from Ferreira and Leon-Ledesma (Citation2007), Arghyrou et al. (Citation2009), Maveyraud-Tricoire and Rous (Citation2009) and Su et al. (Citation2012).
2 See, among others, Monadjemi (Citation1998) and Chung and Crowder (Citation2004).
3 The estimations were performed using Krolzig's code written in Ox.
4 To save space, we do not show the results but they are available upon request.
5 The examined countries are Austria, Belgium, Canada, Denmark, Finland, France, Germany, Italy, Japan, Korea, Luxemburg, the Netherlands, Portugal, Spain, Sweden, Switzerland and the United Kingdom.