RIP and the shift toward a monetary union: Looking for a “euro effect” by a structural break analysis with panel data

Samuel Maveyraud-Tricoire (1) , Philippe Rous (2)

1 GREThA - Groupe de Recherche en Economie Théorique et Appliquée
2 LAPE - Laboratoire d'Analyse et de Prospective Economique

This paper aims to evaluate how the ex ante real interest rates of Euro area countries have been modified by the introduction of the euro. We use cointegration analysis with endogenous breaks in a panel data context. Our results show that the "euro effect" is significant in our sample and that after the introduction of the euro, the real interest parity (RIP) holds. This last conclusion is due to a decrease in the nominal interest rate differentials rather than to a reduction in goods and services price differentials and in the exchange rate volatility.

Mots clés: RIP; European integration; Panel data

Domaines: Economies et finances

Samuel Maveyraud-Tricoire, Philippe Rous. RIP and the shift toward a monetary union: Looking for a “euro effect” by a structural break analysis with panel data. Journal of International Financial Markets, Institutions and Money, 2009, 19 (2), pp.336 - 350. ⟨10.1016/j.intfin.2008.01.005⟩. ⟨hal-01098936⟩