Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies
This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrénot et al. (Applied Economics, 38, pp. 203–229, 2006) to va...
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| Format: | Article |
| Language: | English |
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Taylor & Francis
2010
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| Online Access: | http://ir.unimas.my/id/eprint/18005/ http://ir.unimas.my/id/eprint/18005/1/1226508X.2010.533842 |
| _version_ | 1848838414780071936 |
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| author | Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Mittelhammer, Ron |
| author_facet | Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Mittelhammer, Ron |
| author_sort | Ahmad Zubaidi, Baharumshah |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrénot et al. (Applied Economics, 38, pp. 203–229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country. |
| first_indexed | 2025-11-15T06:55:11Z |
| format | Article |
| id | unimas-18005 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:55:11Z |
| publishDate | 2010 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-180052017-10-06T07:35:11Z http://ir.unimas.my/id/eprint/18005/ Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Mittelhammer, Ron H Social Sciences (General) This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrénot et al. (Applied Economics, 38, pp. 203–229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country. Taylor & Francis 2010 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18005/1/1226508X.2010.533842 Ahmad Zubaidi, Baharumshah and Liew, Venus Khim-Sen and Mittelhammer, Ron (2010) Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies. Global Economic Review, 39 (4). ISSN 1745-1329 http://dx.doi.org/10.1080/1226508X.2010.533842 doi : 10.1080/1226508X.2010.533842 |
| spellingShingle | H Social Sciences (General) Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Mittelhammer, Ron Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies |
| title | Non-linearities in Real Interest Rate Parity: Evidence from
OECD and Asian Developing Economies |
| title_full | Non-linearities in Real Interest Rate Parity: Evidence from
OECD and Asian Developing Economies |
| title_fullStr | Non-linearities in Real Interest Rate Parity: Evidence from
OECD and Asian Developing Economies |
| title_full_unstemmed | Non-linearities in Real Interest Rate Parity: Evidence from
OECD and Asian Developing Economies |
| title_short | Non-linearities in Real Interest Rate Parity: Evidence from
OECD and Asian Developing Economies |
| title_sort | non-linearities in real interest rate parity: evidence from
oecd and asian developing economies |
| topic | H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/18005/ http://ir.unimas.my/id/eprint/18005/ http://ir.unimas.my/id/eprint/18005/ http://ir.unimas.my/id/eprint/18005/1/1226508X.2010.533842 |