Bagdatoglou, G. and Kontonikas, A. (2011) A new test of the real interest rate parity hypothesis: bounds approach and structural breaks. Review of International Economics, 19(4), pp. 718-727.
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Abstract
The real interest rate parity hypothesis is tested using data for the group of seven industrialized countries (G7) over the period 1970–2008. The contribution is two-fold. First, the paper utilizes the bounds approach in order to overcome uncertainty about the order of integration of real interest rates. Second, a test is made for structural breaks in the underlying relationship using a multiple structural breaks test. The results indicate significant parameter instability and suggest that, despite the advances in economic and financial integration, real interest rate parity has not fully recovered from a breakdown in the 1980s.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Kontonikas, Professor Alexandros |
| Authors: | Bagdatoglou, G., and Kontonikas, A. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Review of International Economics |
| Publisher: | Blackwell |
| ISSN: | 0965-7576 |
| ISSN (Online): | 1467-9396 |
| Published Online: | 22 August 2011 |
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