Real interest rate parity under regime shifts and implications for monetary policy

Manchester School

Volumn 68, Issue 6, 2000, Pages 685-700

  Wu, Jyh Lin ^a   Fountas, Stilianos ^b  

^a NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

^b NATIONAL UNIVERSITY OF IRELAND   (Ireland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041034602     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9957.00225     Document Type: Article

References (24)

1. Chinn, M. and Frankel, J. (1995). 'Who Drives Real Interest Rates around the Pacific Rim: the USA or Japan?', Journal of International Money and Finance, Vol. 14, No. 6, pp. 801-821.
2. Cumby, R. and Mishkin, F. (1986). 'The International Linkage of Real Interest Rates: the European-U.S. Connection', Journal of International Money and Finance, Vol. 5, No. 1, pp. 5-23.
3. Cumby, R. and Obstfeld, M. (1984). 'International Interest-rate and Price-level Linkages under Flexible Exchange Rates: a Review of Recent Developments', in J. Bilson and R. Marston (eds), Exchange Rates: Theory and Practice, Chicago, IL, University of Chicago Press.
4. Emerson, M., Gros, D., Italianer, A., Pisani-Ferri, J. and Reichenbach, H. (1992). One Market, One Money, New York, Oxford University Press.
5. Engle, R. and Granger, C. W. J. (1987). 'Cointegration and Error Correction: Representation, Estimation and Testing', Econometrica, Vol. 55, No. 2, pp. 251-276.
6. Frankel, J. (1991). 'Quantifying International Capital Mobility in the 1990s', in D. Bernheim and J. Shoven (eds), National Saving and Economic Performance, Chicago, IL, University of Chicago Press.
7. Frankel, J. (1992). 'Measuring International Capital Mobility: a Review', American Economic Review, Vol. 82, No. 2, pp. 197-202.
8. Fraser, P. and Taylor, M. (1990). 'Some Efficient Tests of International Real Interest Rate Parity', Applied Economics, Vol. 22, No. 8, pp. 1083-1092.
9. Gaab, W., Granziol, M. and Horner, M. (1986). 'On Some International Parity Conditions: an Empirical Investigation', European Economic Review, Vol. 30, No. 3, pp. 683-713.
10. Goodwin, B. and Grennes, T. (1994). 'Real Interest Rate Equalization and the Integration of International Financial Markets', Journal of International Money and Finance, Vol. 13, No. 1, pp. 107-124.
11. Gregory, A. and Hansen, B. (1996). 'Residual-based Tests for Cointegration in Models with Regime Shifts', Journal of Econometrics, Vol. 70, No. 1, pp. 99-126.
12. Hallwood, C. and MacDonald, R. (1994). International Money and Finance, Oxford, Blackwell.
13. Johansen, S. (1988). 'Statistical Analysis of Cointegrating Vectors', Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
14. Johansen, S. and Juselius, K. (1990). 'Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money', Oxford Bulletin of Economics and Statistics, Vol. 52, No. 2, pp. 169-210.
15. MacKinnon, J. G. (1991). 'Critical Values for Cointegration Tests', in R. Engle and C. Granger (eds), Long-run Economic Relationships: Readings in Cointegration, Oxford, Oxford University Press.
16. Mark, N. (1985). 'Some Evidence on the International Inequality of Real Interest Rates', Journal of International Money and Finance, Vol. 4, No. 2, pp. 189-208.
17. Mishkin, F. (1984a). 'The Real Interest Rate: a Multicountry Empirical Study', Canadian Journal of Economics, Vol. 17, No. 2, pp. 283-311.
18. Mishkin, F. (1984b). 'Are Real Interest Rates Equal Across Countries: An Empirical Investigation of International Parity Conditions', Journal of Finance, Vol. 39, No. 5, pp. 1345-1357.
19. Phillips, P. C. B. (1987). 'Time Series Regression with a Unit Root', Econometrica, Vol. 55, No. 2, pp. 277-301.
20. Stock, J. (1987). 'Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors', Econometrica, Vol. 55, No. 5, pp. 1035-1056.
21. Stock, J. and Watson, M. (1993). 'A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems', Econometrica, Vol. 61, No. 4, pp. 783-820.
22. Throop, A. (1994). 'International Financial Market Integration and Linkages of National Interest Rates', Economic Review, Federal Reserve Bank of San Francisco, pp. 3-18.
23. West, K. (1988). 'Asymptotic Normality, when Regressors have a Unit Root', Econometrica, Vol. 56, No. 6, pp. 1397-1417.
24. Wu, J.-L. and Chen, S.-L. (1998). 'A Re-examination of Real Interest Rate Parity', Canadian Journal of Economics, Vol. 31, No. 4, pp. 837-851.