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International real interest rate equalization. A multivariate time‐series approach
Author(s) -
Kugler P.,
Neusser K.
Publication year - 1993
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950080205
Subject(s) - multivariate statistics , series (stratigraphy) , econometrics , interest rate , real interest rate , time series , economics , statistics , mathematics , macroeconomics , geology , paleontology
This paper investigates the dynamic behaviour of monthly ex post real interest rates from several countries over the period 1980 to 1991. It is found that real interest rates are stationary over this period and that deviations from real interest parity are significant in the short run but disappear in the long run. The latter evidence is established using the concept of co‐dependent time series proposed by Gourieroux and Peaucelle (1989) for the analysis of multivariate stationary time series.