The real interest rate differential : international evidence based on non-linear unit root tests.

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The real interest rate differential : international evidence based on non-linear unit root tests.

This paper aims at testing international parity conditions by using non-linear unit root tests advocated by Kapetanios et al. (2003, KSS). Results from the KSS tests based on 17 countries (G7 and 10 Asian countries) overwhelmingly show that the adjustment of real interest rates towards real interest...

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Bibliographic Details
Main Authors:	Baharumshah, Ahmad Zubaidi, Liew, Venus Khim-Sen, Chan, Tze Haw
Format:	Article
Language:	English English
Published:	Blackwell Publishing Ltd 2009
Online Access:	http://psasir.upm.edu.my/id/eprint/17287/ http://psasir.upm.edu.my/id/eprint/17287/1/The%20real%20interest%20rate%20differential.pdf

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