Real interest rate parity new measures and tests

Article Abstract:

An analysis of new measures for real interest rate parity is presented. The analysis focuses on such rates by applying price indexvariations for traded good as deflators. The measures are examined for their international quality and results are compared with similar evaluations for consumer and wholesale price indexes. It is shown that vital differences are observed between the tested and established rate measures.

Consumer price indexes, Wholesale price indexes

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A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan

Article Abstract:

The exchange rate-interest differential relationship was examined using Johansen's cointegration test. The data for the US-Japan and US-Germany exchange rates were specifically analyzed where the sample period ran from 1st qtr to 4th qtr 1974 in Germany and from 1st qtr 1974 to 1st qtr 1996 in Japan. Results linked the exchange rate-interest differential relation over the recent floating-rate period examined.

Foreign Exchange & Reserves Policy, Japan, Germany, Prices and rates, Economic policy, Foreign exchange, Foreign exchange rates

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Dynamic linkages among real interest rates in international capital markets

Article Abstract:

Assessment by several various tests implies that financial integration among the G-10 countries is robust, especially in the long run. Cointegration tests show the presence of long run relationships among real interest rates in these countries. Cointegration is not dismissed in any of the 40 cases that are assessed. Nonetheless, real interest equalization is dismissed in all cases.

Economic Planning & Research, Usage, Economic conditions, Capital market, Capital markets, Integration, Functional, Functional integration (Mathematics)

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