International real interest rate equalization. A multivariate time‐series approach
研究1980至1991年间多国月度事后实际利率的动态行为，发现实际利率是平稳的，短期偏离利率平价但长期消失，使用共依赖时间序列概念进行分析。
Abstract This paper investigates the dynamic behaviour of monthly ex post real interest rates from several countries over the period 1980 to 1991. It is found that real interest rates are stationary over this period and that deviations from real interest parity are significant in the short run but disappear in the long run. The latter evidence is established using the concept of co‐dependent time series proposed by Gourieroux and Peaucelle (1989) for the analysis of multivariate stationary time series.