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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: Baharumshah, Ahmad Zubaidi, Liew, Venus Khim Sen, Hamzah, Nor Aishah
Format: Article
Published: Taylor & Francis 2008
Subjects:
HC Economic History and Conditions
QA Mathematics
Online Access:http://eprints.um.edu.my/25524/
https://doi.org/10.1080/13504850600949152
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spelling my.um.eprints.255242020-09-07T03:42:07Z http://eprints.um.edu.my/25524/ Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Hamzah, Nor Aishah HC Economic History and Conditions QA Mathematics 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. Taylor & Francis 2008 Article PeerReviewed Baharumshah, Ahmad Zubaidi and Liew, Venus Khim Sen and Hamzah, Nor Aishah (2008) Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective. Applied Economics Letters, 15 (12). pp. 955-958. ISSN 1350-4851 https://doi.org/10.1080/13504850600949152 doi:10.1080/13504850600949152
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic HC Economic History and Conditions
QA Mathematics
spellingShingle HC Economic History and Conditions
QA Mathematics
Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Hamzah, Nor Aishah
Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
description 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.
format Article
author Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Hamzah, Nor Aishah
author_facet Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Hamzah, Nor Aishah
author_sort Baharumshah, Ahmad Zubaidi
title Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
title_short Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
title_full Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
title_fullStr Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
title_full_unstemmed Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
title_sort real interest rate parity in the asean-5 countries: a nonlinear perspective
publisher Taylor & Francis
publishDate 2008
url http://eprints.um.edu.my/25524/
https://doi.org/10.1080/13504850600949152
_version_ 1680857041434836992
score 13.211869

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