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 Dufre´not et al. (Applied Economics, 38,pp. 203-229, 2006) to va...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
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Routledge
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15827/ http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf |
| _version_ | 1848842788305633280 |
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| author | Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Mittelhammer, Ron C. |
| author_facet | Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Mittelhammer, Ron C. |
| author_sort | Baharumshah, Ahmad Zubaidi |
| building | UPM 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 Dufre´not 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 | 2025-11-15T08:04:42Z |
| format | Article |
| id | upm-15827 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T08:04:42Z |
| publishDate | 2010 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-158272015-08-28T01:35:05Z http://psasir.upm.edu.my/id/eprint/15827/ Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies. Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Mittelhammer, Ron C. 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 Dufre´not 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. Routledge 2010-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf Baharumshah, Ahmad Zubaidi and Liew, Venus Khim Sen and Mittelhammer, Ron C. (2010) Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies. Global Economic Review, 39 (4). pp. 351-364. ISSN 1226-508X 10.1080/1226508X.2010.533842 English |
| spellingShingle | Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Mittelhammer, Ron C. 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.
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| 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. |
| url | http://psasir.upm.edu.my/id/eprint/15827/ http://psasir.upm.edu.my/id/eprint/15827/ http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf |