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

Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)550-557
Number of pages8
JournalJournal of Asian Economics
Volume22
Issue number6
DOIs
StatePublished - Dec 2011

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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