Panel Analysis on Real Interest Rate Parity for Euro Countries

• Main Authors: Bo-hong Chen, 陳柏宏
• Other Authors: Ming-jang Weng
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/52848916336691706868

碩士 === 國立高雄大學 === 應用經濟學系碩士班 === 102 === The main purpose of this research is to study the real interest rate parity between countries of euro zone, using interest rate data of German as the comparing benchmark for real interest rate and taking 14 countries as research sample out of 18 countries in the euro zone (Austria, Belgium, Cyprus, Spain, Finland, France, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal and Slovakia.) The sample period is ranged from March, 2002 to June, 2013. During that period, there was debt crisis in Europe at the end of 2009. Based on that, we added dummy variables to examine whether debt crisis did have influence on the real interest rate parity. As for research method, we adopted panel data analysis to investigate whether the hypothesis of real interest rate parity in euro-zone countries is valid or not. The final research shows that the result would be different if dummy variables were added. Namely, the hypothesis of real interest rate parity is valid with dummy variables.