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

Mark J. Holmes; Jesús Otero; Theodore Panagiotidis

doi:10.1016/j.asieco.2011.04.002

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

Mark J. Holmes
, Jesús Otero
, Theodore Panagiotidis

Faculty of Economics

Research output: Contribution to Journal › Research Article › peer-review

9 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 language	English (US)
Pages (from-to)	550-557
Number of pages	8
Journal	Journal of Asian Economics
Volume	22
Issue number	6
DOIs	https://doi.org/10.1016/j.asieco.2011.04.002
State	Published - Dec 2011

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.asieco.2011.04.002

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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.",

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

Abstract

All Science Journal Classification (ASJC) codes

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