Sirichand Vivian Wohar_Real Interest Parity_Revised_12-18-2014_FINAL.pdf (506.43 kB)
Download fileExamining real interest parity: which component reverts quickest and in which regime?
journal contribution
posted on 2015-03-06, 15:08 authored by Kavita SirichandKavita Sirichand, Andrew VivianAndrew Vivian, Mark WoharThis 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.
History
School
- Business and Economics
Department
- Business
Published in
International Review of Financial AnalysisVolume
InIssue
PressPages
i - xxxvCitation
SIRICHAND, 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.Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publisher statement
This 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/Publication date
2015Notes
This 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.2015.01.007ISSN
1057-5219Publisher version
Language
- en