Citation
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 1466-4291
Abstract
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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