Borradores de Economia
Number:
994
Published:
Classification JEL:
C12, C33, E43
Keywords:
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
The most recent
Pedro Pablo Calderon-Camacho, Celina Gaitán-Maldonado, Nicolle Valentina Herrera-Pinto, Mario A. Ramos-Veloza
Franky Juliano Galeano-Ramírez, Nicolás Martínez-Cortés, Hernán Dario Perdomo-Sánchez, Marlon Salazar
Catalina Granda-Carvajal, Jesús Enrique Morales-Piñero
We use the recently developed panel rank-cointegration test proposed by Pedroni et al. [2015] to check for the stability conditions of the cross-country money market interest rate bases. Using weekly information on short-term interest rates and spot and forward exchange rates for a set of 20 European economies during 2005-2017, we show that in most cases these bases are non-stationary, implying the failure of the Covered Interest Rate Parity condition. Concretely, a mean-reverting behavior is encountered in only two cases. The first includes Greece, Italy and Portugal, while the second Belgium, France and Germany.
