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标题：A new test of the real interest rate parity hypothesis: bounds approach and structural breaks
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作者：George Bagdatoglou ; Alexandros Kontonikas
期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2009
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：We test the real interest rate parity hypothesis using data for the G7 countries over the period 1970-2008. Our contribution is two-fold. First, we utilize the ARDL bounds approach of Pesaran et al. (2001) which allows us to overcome uncertainty about the order of integration of real interest rates. Second, we test for structural breaks in the underlying relationship using the multiple structural breaks test of Bai and Perron (1998, 2003). Our 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.
关键词：real interest rates parity, bounds test, structural breaks.