Real interest rate parity in the ASEAN-5 countries : a nonlinear perspective.

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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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Economics and Management
DOI Number:	https://doi.org/10.1080/13504850600949152
Publisher:	Routledge
Keywords:	Real interest rate parity; Nonlinear unit root tests; ASEAN.
Depositing User:	Emelda Mohd Hamid
Date Deposited:	18 Oct 2013 04:41
Last Modified:	04 Sep 2015 08:20
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/13504850600949152
URI:	http://psasir.upm.edu.my/id/eprint/16434
Statistic Details:	View Download Statistic

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