Sirichand Vivian Wohar_Real Interest Parity_Revised_12-18-2014_FINAL.pdf (506.43 kB)
Examining real interest parity: which component reverts quickest and in which regime?
journal contributionposted on 2015-03-06, 15:08 authored by Kavita SirichandKavita Sirichand, Andrew VivianAndrew Vivian, Mark Wohar
This article re-examines real interest parity (RIP), focusing upon which component of real interest parity drives convergence to parity. We find that it is the reversion of inflation rather than nominal interest rates which is the primary source of convergence to RIP. Nominal interest rate differentials are found to be persistent during both periods. Furthermore, we additionally find that mean reversion in the inflation differentials is faster during the Gold Standard period.
- Business and Economics
Published inInternational Review of Financial Analysis
Pagesi - xxxv
CitationSIRICHAND, K., VIVIAN, A. and WOHAR, M.E., 2015. Examining real interest parity: which component reverts quickest and in which regime?. International Review of Financial Analysis, 39, pp.72-83.
- AM (Accepted Manuscript)
Publisher statementThis work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/
NotesThis paper was accepted for publication in the journal International Review of Financial Analysis and the definitive published version is available at http://dx.doi.org/10.1016/j.irfa.2015.01.007