Real interest parity: A note on Asian countries using panel stationarity tests Academic Article

abstract

  • Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials. © 2011 Elsevier Inc..

publication date

  • 2011/12/1

keywords

  • Asia
  • Asian countries
  • Interest rate differentials
  • Panel data
  • Panel stationarity test
  • Real interest differentials
  • Real interest parity
  • Size distortion
  • Stationarity
  • Structural breaks
  • Testing

International Standard Serial Number (ISSN)

  • 1049-0078

number of pages

  • 8

start page

  • 550

end page

  • 557