Citation
Baharumshah, Ahmad Zubaidi and Chan, Tze Haw and Fountas, Stilianos
(2005)
A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era.
Global Finance Journal, 16 (1).
pp. 69-85.
ISSN 1044-0283; ESSN: 1873-5665
Abstract
This study examines the mean reverting behavior of real interest differentials in ten Asian economies using Japan as the base country. We obtain a number of interesting results: first, the conventional ADF test fails to support Real Interest Parity (RIP) for at least half of the countries, even for the post-financial liberalization period. Second, the evidence based on panel unit root tests demonstrates that real interest rate differentials exhibit mean reverting behavior and are characterized by long-memory dynamics. Finally, the evidence suggests that deviations from RIP have a half-life of approximately 6 to 7 months.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Economics and Management |
| DOI Number: | https://doi.org/10.1016/j.gfj.2005.05.005 |
| Publisher: | Elsevier |
| Keywords: | Real interest differentials; Mean-reversion; Half-life; Panel unit root tests |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 17 Sep 2015 00:15 |
| Last Modified: | 17 Sep 2015 00:15 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1016/j.gfj.2005.05.005 |
| URI: | http://psasir.upm.edu.my/id/eprint/40297 |
| Statistic Details: | View Download Statistic |
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