214
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Is the real interest rate parity condition affected by the method of calculating real interest rates?

&
Pages 1771-1782 | Published online: 21 Apr 2008

References

  • Baharumshah , A , Haw , CT and Fountas , S . 2005 . A panel study on real interest rate parity in East-Asian countries: pre and post liberalization era . Global Finance Journal , 1 : 69 – 85 .
  • Cumby , R and Mishkin , F . 1986 . The international linkage of real interest rates: the European-US connection . Journal of International Money and Finance , 5 : 5 – 23 .
  • Casella , G and George , E . 1992 . Explaining the Gibbs Sampler . American Statistician , 46 : 167 – 74 .
  • Elliott , G , Rothenberg , TJ and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • Fraser , P and Taylor , MP . 1990 . Some efficient tests of international real interest rate parity . Applied Economics , 22 : 1083 – 92 .
  • Frenkel , J . 1978 . Purchasing power parity, doctrinal perspective and evidence from the 1920's . Journal of International Economics , 8 : 169 – 91 .
  • Gagnon , JE and Unferth , MD . 1995 . Is there a world real interest rate? . Journal of International Money and Finance , 14 : 845 – 55 .
  • Garcia , R and Perron , P . 1996 . An analysis of real interest under regime shift . Review of Economics and Statistics , 78 : 111 – 25 .
  • Goodwin , B and Grennes , T . 1994 . Real interest rate equalization and the integration of international financial markets . Journal of International Money and Finance , 13 : 107 – 24 .
  • Hamilton , J . 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 84 .
  • Holmes , M and Maghrebi , N . 2004 . Asian real interest rates, nonlinear dynamics, and international parity . International Review of Economics and Finance , 13 : 387 – 405 .
  • Huizinga , J and Mishkin , F . 1984 . Inflation and real interest rates on assets with different risk characteristics . Journal of Finance , 39 : 699 – 712 .
  • Johansen , S . 1988 . Statistical analysis of cointegrating vectors . Journal of Economics Dynamics and Control , 59 : 205 – 30 .
  • Johansen , S . 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 205 – 30 .
  • Junttila , J . 2001 . Structural breaks ARIMA model and Finnish inflation forecasts . International Journal of Forecasting , 17 : 203 – 30 .
  • Kilian , L and Taylor , MP . 2003 . Why is it so difficult to beat the random walk forecast of exchange rates? . Journal of International Economics , 60 : 85 – 107 .
  • Kakkar , V and Ogaki , M . 1999 . real exchange rates and nontradables: a relative price approach . Journal of Empirical Finance , 6 : 193 – 215 .
  • Kugler , P and Neusser , K . 1993 . International real interest rate equalization . Journal of Applied Econometrics , 8 : 163 – 74 .
  • Lai , K . 2004 . On structural shifts and stationarity of the ex ante real interest rate . International Review of Economics and Finance , 13 : 217 – 28 .
  • Lee , H-Y and Wu , J-L . 2004 . Convergence of interest rates around the Pacific Rim . Applied Economics , 36 : 1281 – 8 .
  • Mancuso , A , Goodwin , B and Grennes , T . 2003 . Nonlinear aspects of capital market integration and real interest rate equalization . International Review of Economics and Finance , 12 : 283 – 303 .
  • Mark , N . 1985 . A note on international real interest rate differentials . Review of Economics and Statistics , 67 : 681 – 4 .
  • Mishkin , F . 1984 . Are real interest rates equal across countries? An empirical investigation of international parity conditions . Journal of Finance , 39 : 1345 – 57 .
  • Moosa , IA and Bhatti , RH . 1996 . Does europe have an integrated capital market? Evidence from real interest parity tests . Applied Economics Letters , 3 : 517 – 20 .
  • Modjatahedi , B . 1987 . An empirical investigation into the international real interest rate linkages . Canadian Journal of Economics , 20 : 832 – 54 .
  • Perron , P and Ng , S . 1996 . Useful modifications to some unit root tests with dependent errors and their local asymptotic properties . Review of Economic Studies , 63 : 435 – 63 .
  • Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
  • Smallwood , A and Norrbin , SC . 2008 . “ An encompasssing test of real interest rate parity ” . In Review of International Economics (Forthcoming)
  • Sun , Y and Phillips , PCB . 2004 . Understanding the Fisher equation . Journal of Applied Econometrics , 19 : 869 – 86 .
  • Teräsvirta , T . 1994 . Specification, estimation, and evaluation of smooth transition autoregressive models . Journal of the American Statistical Association , 89 : 208 – 18 .
  • Tsay , W-J . 2000 . Long memory story of the real interest rate . Economics Letters , 67 : 325 – 30 .
  • Van Dijk , D , Teräsvirta , T and Franses , P . 2002 . Smooth transition autoregressive models — a survey of recent developments . Econometrics Reviews , 21 : 1 – 47 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.