An Examination of Uncovered Real Interest Rate Parity In 18 Distinct U.S. Manufacturing Industries
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Keywords

Real Interest Rate Parity
Unit Root
UIP

How to Cite

Shin Moh, W., Rahnamamoghadam, M., & Valcarcel, V. (2012). An Examination of Uncovered Real Interest Rate Parity In 18 Distinct U.S. Manufacturing Industries. Journal of Business Strategies, 29(1), 57–78. https://doi.org/10.54155/jbs.29.1.57-78

Abstract

In a departure from the standard literature, we consider micro-level data to
draw inferences about the uncovered real interest rate parity in 18 distinct manufacturing
industries across 25 countries. The real interest rates are computed based on
trade weights at the industry level. We examine the time series properties of real interest
differentials by employing a battery of unit root tests. Using industry-specific
quarterly observations on deposit and inflation rates, we find robust and statistically
significant evidence in support of the uncovered real interest rate parity (UIP) in
every industry we consider across all 25 countries.

https://doi.org/10.54155/jbs.29.1.57-78
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