Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective

Document Type

Article

Publication Date

1-1-2008

Abstract

This article aims at testing real interest parity (RIP) by using nonlinear unit root tests. The results from Kapetanios et al. (2003) demonstrated that the adjustment of ASEAN-5 real interest rates towards real interest rates in Japan and the US follows a nonlinear (stationary) process. Overall, the evidence is in favour of RIP.

Keywords

Real Interest Rate Parity, Panel Unit Root Tests, Government Bonds

Divisions

MathematicalSciences

Funders

Ministry of Higher Education for the Fundamental Research Program [Grant No. 06-02-03-004]

Publication Title

Applied Economics Letters

Volume

15

Issue

12

Publisher

Taylor & Francis

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