大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

International Real Interest Rate Convergence and Regime-Switching

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

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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.