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

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

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Official URL: https://doi.org/10.1080/13504850600949152

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.

Item Type: Article
Uncontrolled Keywords: Real Interest Rate Parity; Panel Unit Root Tests; Government Bonds
Subjects: H Social Sciences > HC Economic History and Conditions
Q Science > QA Mathematics
Divisions: Faculty of Science > Institute of Mathematical Sciences
Depositing User: Ms. Juhaida Abd Rahim
Date Deposited: 07 Sep 2020 03:42
Last Modified: 07 Sep 2020 03:42
URI: http://eprints.um.edu.my/id/eprint/25524

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