International Real Interest Rate Convergence and Regime-Switching


Mark Holmes (Department of Economics, The University of Waikato)
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大証寄附研究部門セミナーシリーズ
International Real Interest Rate Convergence and Regime-Switching

Mark Holmes (Department of Economics, The University of Waikato)

This study is an investigation of long-run real interest parity among the G7 economies. In contrast to the existing literature, unit-root tests of real interest differentials are embedded within a Markov regime-switching framework. Whereas standard univariate unit-root tests provide little support for parity, the evidence suggests that real convergence is present after allowing for regime switches in real interest misalignments. However, differentials across members of the euro zone are likely to exhibit greater persistence despite nominal convergence.


講 師:
Mark Holmes (Department of Economics, The University of Waikato)
テーマ:
International Real Interest Rate Convergence and Regime-Switching
日 時:
2008年08月26日(火)16:20-17:50
場 所:
大阪大学経済学研究科新棟7階大会議室
参加費:
無料
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