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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...

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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/15827/1/Non.pdf
http://psasir.upm.edu.my/id/eprint/15827/
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spelling my.upm.eprints.158272015-08-28T01:35:05Z http://psasir.upm.edu.my/id/eprint/15827/ Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies. Baharumshah, Ahmad Zubaidi Liew, Venus Khim Sen Mittelhammer, Ron C. 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 validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country. Routledge 2010-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf Baharumshah, Ahmad Zubaidi and Liew, Venus Khim Sen and Mittelhammer, Ron C. (2010) Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies. Global Economic Review, 39 (4). pp. 351-364. ISSN 1226-508X 10.1080/1226508X.2010.533842 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description 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 validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country.
format Article
author Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Mittelhammer, Ron C.
spellingShingle Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Mittelhammer, Ron C.
Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
author_facet Baharumshah, Ahmad Zubaidi
Liew, Venus Khim Sen
Mittelhammer, Ron C.
author_sort Baharumshah, Ahmad Zubaidi
title Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
title_short Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
title_full Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
title_fullStr Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
title_full_unstemmed Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
title_sort non-linearities in real interest rate parity : evidence from oecd and asian developing economies.
publisher Routledge
publishDate 2010
url http://psasir.upm.edu.my/id/eprint/15827/1/Non.pdf
http://psasir.upm.edu.my/id/eprint/15827/
_version_ 1643826041212370944
score 13.211869

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