Open AccessAn Examination of Uncovered Real Interest Rate Parity In 18 Distinct U.S. Manufacturing Industries
Author(s) -
Wan Shin Moh,
Masha Rahnamamoghadam,
Victor J. Valcarcel
Publication year - 1970
Publication title -
journal of business strategies
Language(s) - English
Resource type - Journals
eISSN - 2162-6901
pISSN - 0887-2058
DOI - 10.54155/jbs.29.1.57-78
Subject(s) - interest rate parity , real interest rate , fisher hypothesis , economics , econometrics , interest rate , parity (physics) , floating interest rate , inflation (cosmology) , monetary economics , physics , particle physics , theoretical physics
In a departure from the standard literature, we consider micro-level data todraw inferences about the uncovered real interest rate parity in 18 distinct manufacturingindustries across 25 countries. The real interest rates are computed based ontrade weights at the industry level. We examine the time series properties of real interestdifferentials by employing a battery of unit root tests. Using industry-specificquarterly observations on deposit and inflation rates, we find robust and statisticallysignificant evidence in support of the uncovered real interest rate parity (UIP) inevery industry we consider across all 25 countries.