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

Authors

• Ahmad Zubaidi Baharumshah
• Venus Khim Sen Liew
• Nor Aishah HamzahFollow

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

Publication Title

Applied Economics Letters

ISSN

1350-4851

Recommended Citation

Baharumshah, Ahmad Zubaidi; Liew, Venus Khim Sen; and Hamzah, Nor Aishah, "Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective" (2008). Research Publications (2006 to 2010). 1189.
https://knova.um.edu.my/research_publications_2006_2010/1189

Divisions

MathematicalSciences

Funders

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

Volume

15

Issue

12

Publisher

Taylor & Francis