Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Baharumshah, Ahmad Zubaidi, Liew, Venus Khim Sen, Mittelhammer, Ron C.
Format:	Article
Language:	English English
Published:	Routledge 2010
Online Access:	http://psasir.upm.edu.my/id/eprint/15827/ http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf

Similar Items

Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2010)

Real interest rate parity in the ASEAN-5 countries : a nonlinear perspective.
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2008)

Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2008)

Nonlinear Adjustment Of Real Exchange Rates Towards Purchasing Power Parity And The Asian Financial Crisis
by: Liew, Venus Khim-Sen, et al.
Published: (2005)

Financial integration of East Asian economies : evidence from real interest parity
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2011)

Financial integration of East Asian economies: evidence from real interest parity
by: Evan, Lau, et al.
Published: (2011)

Financial integration of East Asian economies: evidence from real interest parity
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2011)

The Real Interest Rate Differential : International Evidence Based On Non-Linear Unit Root Tests
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2009)

The real interest rate differential : international evidence based on non-linear unit root tests.
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2009)

Parity reversion in real interest rate in the Asian countries: further evidence based on local-persistent model
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2013)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim Sen, et al.
Published: (2003)

Are Asian real exchange rates stationary?
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

Are Asian real exchange rates stationary?
by: Liew, Venus Khim Sen, et al.
Published: (2004)

Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2005)

Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
by: Liew, Venus Khim-Sen, et al.
Published: (2009)

Asymmetry dynamics in real exchange rates: New results on East Asian currencies
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2010)

Asymmetry dynamics in real exchange rates: new results on East Asian currencies
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2010)

Income Divergence? Evidence of Non−linearity in the East Asian Economies
by: Khim−Sen Liew, Venus, et al.
Published: (2005)

Real exchange rate dynamics in the Asian economies: can regime shifts explain purchasing power parity puzzles?
by: Siew, Voon Soon, et al.
Published: (2015)

Purchasing Power Parity (PPP) in a Transition Economy - Cambodia: Empirical Evidence from Bilateral Exchange Rates
by: Tuck, Cheong Tang, et al.
Published: (2009)

The Linearity Property Of Asean-5 Real Exchange Rates In Pre-Asian Currency Crisis Period
by: Venus, Khim-Sen Liew, et al.
Published: (2004)

Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

An empirical investigation of purchasing power parity for a transition economy - Cambodia
by: Liew, Venus Khim-Sen, et al.
Published: (2009)

Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2013)

Purchasing power parity in South East Asian countries economies: a cointegration approach
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (1997)

Performances of non-linear smooth transition autoregressive and linear autoregressive models in forecasting the Ringgit-Yen rate
by: Liew, Khim Sen, et al.
Published: (2002)

Real interest rates equalization: The case of Malaysia and Singapore
by: Ling, Tai-Hu, et al.
Published: (2006)

Nonlinear Mean Reversion In Real Exchange Rates: Evidence From The ASEAN-5
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2003)

Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

Nonlinear Adjustment of ASEAN−5 Real Exchange Rates: Symmetrical or Asymmetrical?
by: Liew, Venus Khim-Sen
Published: (2004)

Revisiting Purchasing Power Parity for Central Asian Countries Using Threshold Cointegration Tests
by: Lau, Evan, et al.
Published: (2010)

Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2006)

Forecasting performance of exponential smooth transition autoregressive exchange rate models
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2006)

Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries
by: Liew, Venus Khim-Sen, et al.
Published: (2010)

Assessing the forecastibility of ESTAR Models: Evidence from ringgit/yen Rate
by: Liew, Venus Khim-Sen, et al.
Published: (2007)

Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions
by: Liew, Venus Khim-Sen, et al.
Published: (2002)