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Real interest-rate parity under regime shifts: evidence for industrial countries.

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dc.contributor.author Fountas, Stilianos en
dc.contributor.author Wu, Jyh-Lin en
dc.date.accessioned 2011-03-07T15:07:39Z en
dc.date.available 2011-03-07T15:07:39Z en
dc.date.issued 1998-10 en
dc.identifier.citation Wu, J.-l., & Fountas, S. (1998). Real interest-rate parity under regime shifts: evidence for industrial countries. (Economics Working Paper no. 30): Department of Economics, National University of Ireland, Galway. en
dc.identifier.uri http://hdl.handle.net/10379/1684 en
dc.description.abstract We use recently developed cointegration tests that determine endogenously the regime shift to test for bilateral real interest rate convergence (real interest rate parity) in the G7 against the US in the 1974-1995 period. In contrast with previous studies that employed classical regression analysis and standard cointegration tests, our innovative approach provides strong evidence in favour of bilateral real interest rate convergence between the US and several countries in our sample, in particular for short-term real interest rates. Our results highlight the fact that for a number of countries in our sample (Canada and the UK) monetary policy can act as a stabilisation policy tool through its effect on domestic long-term real interest rates while for others (France and Germany) long-term real interest rate changes are significantly influenced by the US monetary policy stance. en
dc.format application/pdf en
dc.language.iso en en
dc.publisher National University of Ireland, Galway en
dc.subject Economics en
dc.subject Real interest parity en
dc.subject Cointegration with regime shifts en
dc.title Real interest-rate parity under regime shifts: evidence for industrial countries. en
dc.type Working Paper en
dc.description.peer-reviewed peer-reviewed en

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