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, DOI https://doi.org/10.1080/13504850600949152.
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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 |
|---|---|
| Funders: | Ministry of Higher Education for the Fundamental Research Program [Grant No. 06-02-03-004] |
| 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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