2017-05-082017-05-082017-05-082017-05-08N. Baba and F. Packer. Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08. Journal of Banking & Finance, 33(11):1953 – 1962, 2009.C. F. Baum and J. Barkoulas. Dynamics of intra-ems interest rate linkages. Journal of Money, Credit, and Banking, 38(2):469–482, 2006.C. Borio, R. McCauley, P. McGuire, and V. Sushko. Covered interest parity lost: understanding the cross-currency basis. Working paper, Bank of International Settlements, September 2016.https://repositorio.banrep.gov.co/handle/20.500.12134/6307We 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.12 páginas : gráficas, tablasPDFengOpen AccessParidad cubierta de tasas de interésPruebas de rango no paramétricasCointegraciónSeries de tiempo en panelTipos de cambio cruzadoWorking PaperC12 - Hypothesis Testing: GeneralC33 - Multiple/Simultaneous Equation Models; Multiple Variables: Panel Data Models; Spatio-temporal ModelsE43 - Interest Rates: Determination, Term Structure, and EffectsCovered interest rate parityNonparametric rank testsCointegrationTime seriesMercado monetario -- Estudios comparados -- Europa -- 2005-2017Tasas de interés -- Estudios comparados -- Europa -- 2005-2017Tipos de cambio -- Estudios comparados -- Europa -- 2005-2017Acceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0E43 - Tipos de interés: determinación, estructura temporal y efectosC12 - Contraste de hipótesis: generalidadesC33 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Modelos con datos de panel; Modelos espacioLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.https://hdl.handle.net/20.500.12134/6307