TY - JOUR
T1 - Real interest parity
T2 - A note on Asian countries using panel stationarity tests
AU - Holmes, Mark J.
AU - Otero, Jesús
AU - Panagiotidis, Theodore
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2011/12
Y1 - 2011/12
N2 - 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.
AB - 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.
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U2 - 10.1016/j.asieco.2011.04.002
DO - 10.1016/j.asieco.2011.04.002
M3 - Article
AN - SCOPUS:80755132157
SN - 1049-0078
VL - 22
SP - 550
EP - 557
JO - Journal of Asian Economics
JF - Journal of Asian Economics
IS - 6
ER -