Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
This article aims at testing real interest parity (RIP) by using nonlinear unit root tests. The results from Kapetanios et al. (2003) demonstrated that the adjustment of ASEAN-5 real interest rates towards real interest rates in Japan and the US follows a nonlinear (stationary) process. Overall, the...
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| Main Authors: | , , |
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| Format: | Article |
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Taylor & Francis
2008
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| Online Access: | http://eprints.um.edu.my/25524/ https://doi.org/10.1080/13504850600949152 |
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| Summary: | This article aims at testing real interest parity (RIP) by using nonlinear unit root tests. The results from Kapetanios et al. (2003) demonstrated that the adjustment of ASEAN-5 real interest rates towards real interest rates in Japan and the US follows a nonlinear (stationary) process. Overall, the evidence is in favour of RIP. |
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