This article re-examines real interest parity (RIP), focusing upon which component of real interest parity drives convergence to parity. We find that it is the reversion of inflation rather than nominal interest rates which is the primary source of convergence to RIP. Nominal interest rate...

Although better information about the dynamics of the yields on financial assets is decisive for both borrowers and lenders alike, it is not uncommon, in the literature, for researchers to employ standard unit-root tests to determine the extent of the persistence, and based on such results,...

Empirical evidence on international yield comovement is sparse and lacks consensus. Employing a dynamic correlation approach, we show that during the recent global financial crisis euro area yields have ceased to comove with the yields of the other international markets - Canada, UK and US. Some...