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Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques

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  • George Magonis
  • Andreas Tsopanakis

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.

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  • George Magonis & Andreas Tsopanakis, 2013. "Real interest rate parity in OECD countries: new evidence from time series and panel cointegration techniques," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 476-479, March.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:5:p:476-479
    DOI: 10.1080/13504851.2012.667540
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    Cited by:

    1. Abdullah Gulcu & Dilem Yildirim, 2018. "Smooth Breaks And Nonlinear Mean Reversion In Real Interest Parity: Evidence From East Asian Countries," ERC Working Papers 1804, ERC - Economic Research Center, Middle East Technical University, revised Feb 2018.
    2. Koch, Cathérine Tahmee, 2014. "Risky adjustments or adjustments to risks: Decomposing bank leverage," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 242-254.

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