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Title: Examining real interest parity: which component reverts quickest and in which regime?
Authors: Sirichand, Kavita
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Comovement
Real interest rate parity
Inflation differential
Nominal interest rate differential
Fisher effect
Gold Standard
Floating exchange rate
Issue Date: 2015
Publisher: © Elsevier
Citation: 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.
Abstract: 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.
Description: 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.2015.01.007
Version: Accepted for publication
DOI: 10.1016/j.irfa.2015.01.007
URI: https://dspace.lboro.ac.uk/2134/16923
Publisher Link: http://dx.doi.org/10.1016/j.irfa.2015.01.007
ISSN: 1057-5219
Appears in Collections:Published Articles (Business)

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