Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorΦουντάς, Στυλιανόςel
dc.contributor.authorΣαρπότα, Μαρίαel
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2009.el
dc.description.abstractThis study examines whether the real interest rate parity hypothesis holds, using two different methods for computing the real interest rate. We present empirical evidence on the RIP hypothesis for thirteen industrialized countries against the US in the 1967-2008 period. This is done by employing not only classical regression analysis and standard cointegration tests, but also cointegration tests that determine the regime shift endogenously. Our results provide strong evidence in favour of bilateral real interest rate convergence between the US and several countries in our sample, in particular for long-term real interest rates. The evidence suggests that deviations from RIP have a half-life of approximately 6-9 quarters. We also provide an application of approximation of the ESTAR model, which allows for possible nonlinearities in international real interest rate dynamics.en
dc.format.extent125 σ.el
dc.format.extent1091657 bytes-
dc.publisherΠανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημώνel
dc.subjectReal interest rate parityen
dc.subjectIndustrialized countriesen
dc.titleAn empirical analysis of real interest rate parity for industrialized countriesen
dc.typeElectronic Thesis or Dissertationen
dc.contributor.departmentΔιατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμηel
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

Files in This Item:
File Description SizeFormat 
SarpotaMsc2009.pdf1.07 MBAdobe PDFView/Open

Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.