Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets
We investigate the validity of real interest parity (RIP) for the 13 Central and Eastern European countries, over the period 1996–2011. We consider a panel stationarity test that allows for multiple breaks advocated by Carrion-i-Silvestre et al. (2005) and confirmed the strong version of RIP. We fou...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2013
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| Online Access: | http://psasir.upm.edu.my/id/eprint/28299/ http://psasir.upm.edu.my/id/eprint/28299/1/Real%20interest%20parity%20in%20Central%20and%20Eastern%20European%20countries.pdf |
| _version_ | 1848846078441422848 |
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| author | Baharumshah, Ahmad Zubaidi Soon, Siew Voon Borsic, Darja |
| author_facet | Baharumshah, Ahmad Zubaidi Soon, Siew Voon Borsic, Darja |
| author_sort | Baharumshah, Ahmad Zubaidi |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | We investigate the validity of real interest parity (RIP) for the 13 Central and Eastern European countries, over the period 1996–2011. We consider a panel stationarity test that allows for multiple breaks advocated by Carrion-i-Silvestre et al. (2005) and confirmed the strong version of RIP. We found that the events of the last two decades, including the recent global financial crisis affected most of the real interest differential series. Based on the local-persistent model, we found that these countries take less than a year to converge to the RIP value. Financial market integration in these countries is invariant with respect to the reference country—the US and EU. |
| first_indexed | 2025-11-15T08:56:59Z |
| format | Article |
| id | upm-28299 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:56:59Z |
| publishDate | 2013 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-282992015-08-24T01:43:10Z http://psasir.upm.edu.my/id/eprint/28299/ Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets Baharumshah, Ahmad Zubaidi Soon, Siew Voon Borsic, Darja We investigate the validity of real interest parity (RIP) for the 13 Central and Eastern European countries, over the period 1996–2011. We consider a panel stationarity test that allows for multiple breaks advocated by Carrion-i-Silvestre et al. (2005) and confirmed the strong version of RIP. We found that the events of the last two decades, including the recent global financial crisis affected most of the real interest differential series. Based on the local-persistent model, we found that these countries take less than a year to converge to the RIP value. Financial market integration in these countries is invariant with respect to the reference country—the US and EU. Elsevier 2013-07 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28299/1/Real%20interest%20parity%20in%20Central%20and%20Eastern%20European%20countries.pdf Baharumshah, Ahmad Zubaidi and Soon, Siew Voon and Borsic, Darja (2013) Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets. Journal of International Financial Markets, Institutions and Money, 25. pp. 163-180. ISSN 1042-4431; ESSN: 1873-0612 http://www.sciencedirect.com/science/article/pii/S1042443113000188 10.1016/j.intfin.2013.02.001 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Soon, Siew Voon Borsic, Darja Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title | Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title_full | Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title_fullStr | Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title_full_unstemmed | Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title_short | Real interest parity in Central and Eastern European countries: evidence on integration into EU and the US markets |
| title_sort | real interest parity in central and eastern european countries: evidence on integration into eu and the us markets |
| url | http://psasir.upm.edu.my/id/eprint/28299/ http://psasir.upm.edu.my/id/eprint/28299/ http://psasir.upm.edu.my/id/eprint/28299/ http://psasir.upm.edu.my/id/eprint/28299/1/Real%20interest%20parity%20in%20Central%20and%20Eastern%20European%20countries.pdf |