Why are real interest rates not equalized internationally?

Southern Economic Journal

Volumn 71, Issue 2, 2004, Pages 441-458

  Chung, S Young ^a   Crowder, William J ^b  

^a Wonkwang University   (South Korea)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8344259797     PISSN: 00384038     EISSN: None     Source Type: Journal    
DOI: 10.2307/4135301     Document Type: Article

References (31)

1. Breuer, Janice Boucher, Robert McNown, and Myles S. Wallace. 2001. Misleading inference from panel unit-root tests with an illustration from purchasing power parity. Review of International Economics 9:482-93.
2. Crowder, William J. 1996. The international convergence of inflation rates during fixed and floating exchange rate regimes. Journal of International Money and Finance 15:551-75.
3. Crowder, William J. 1997. The long-run Fisher relation in Canada. Canadian Journal of Economics 30:1124-42.
4. Crowder, William J. 2001. Testing stationarity of real exchange rates using Johansen tests. Working Paper, The University of Texas at Arlington.
5. Crowder, William J., and Dennis L. Huffman. 1996. The long-run relation between nominal interest rates and inflation: The Fisher equation revisited. Journal of Money, Credit and Banking 28:102-18.
6. Crowder, William J., and Mark E. Wohar. 1999. Are tax effects important in the long-run Fisher relationship? Evidence from the municipal bond market. Journal of Finance 54:307-17.
7. Dutton, Marilyn Miller. 1993. Real interest rate parity new measures and tests. Journal of International Money and Finance 12:62-77.
8. Elliot, Graham, Thomas J. Rothenberg, and James H. Stock. 1996. Efficient tests for an autoregressive unit root. Econometrica 64:813-36.
9. Hansen, Brace E. 1995. Rethinking the univariate approach to unit root testing: Using covariates to increase power. Econometric Theory 11:1148-71.
10. Hansen, Henrik, and Søren Johansen. 1993. Recursive estimation in cointegrated VAR-models. Working Paper, University of Copenhagen.
11. Horvath, Michael T. K., and Mark W. Watson. 1995. Testing for cointegration when some of the cointegrating vectors are prespecified. Econometric Theory 11:984-1014.
12. Johansen, Søren. 1988. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 12:231-54.
13. Johansen, Søren. 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59:1551-80.
14. Johansen, Søren. 1994. The role of the constant and linear terms in cointegration analysis of non-stationary variables. Econometric Reviews 13:205-30.
15. Jorion, Philippe. 1996. Does real interest parity hold at longer maturities? Journal of International Economics 40:105-26.
16. Koustas, Zisimos, and Apostolos Serletis. 1999. On the Fisher effect. Journal of Monetary Economics 44:105-30.
17. Kremers, Jeroen J. M., Neu R. Ericsson, and Juan J. Dolado. 1992. The power of cointegration tests. Oxford Bulletin of Economics and Statistics 54:325-48.
18. Kugler, Peter, and Klaus Neusser. 1993. International real interest rate equalization: A multivariate time-series approach. Journal of Applied Econometrics 8:163-74.
19. Malliaropulos, Dimitrios. 2000. A note on nonstationarity, structural breaks and the Fisher effect. Journal of Banking and Finance 24:695-707.
20. Mark, Nelson. 1985. Some evidence on the international inequality of real interest rates. Journal of International Money and Finance 4:189-208.
21. Marston, Richard C. 1997. Tests of three parity conditions: Distinguishing risk premia and systematic forecast errors. Journal of International Money and Finance 16:285-303.
22. Mishkin, Frederic S. 1992. Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates. Journal of Monetary Economics 30:195-215.
23. Newbold, Paul, Mark E. Wohar, Tony Rayner, Neu Kellard, and Christine Ennew. 1998. Two puzzles in the analysis of foreign exchange market efficiency. International Review of Financial Analysis 43:313-32.
24. Ng, Serena, and Pierre Perron. 2001. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69:1519-54.
25. O'Connell, Paul G. J. 1998. The overvaluation of purchasing power parity. Journal of International Economics 44:1-19.
26. Papell, David H. 1998. Searching for stationarity: Purchasing power parity under the current float. Journal of International Economics 43:313-32.
27. Rose, Andrew K. 1988. Is the real interest rate stable? Journal of Finance 43:1095-112.
28. Stock, James H., and Mark W. Watson. 1988. Testing for common trends. Journal of the American Statistical Association 83:1097-107.
29. Taylor, Mark P., and Lucio Sarno. 1998. The behavior of real exchange rates during the post-Bretton Woods period. Journal of International Economics 46:281-312.
30. Wu, Jyh-Lin, and Show-Lin Chen. 1998. A re-examination of real interest rate parity. Canadian Journal of Economics 31:837-51.
31. Zivot, Eric, and Donald W.K. Andrews. 1992. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics 10:251-70.