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

Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

Resultado de la investigación: Contribución a RevistaArtículo

6 Citas (Scopus)

Resumen

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..
Idioma originalEnglish (US)
Páginas (desde-hasta)550-557
Número de páginas8
PublicaciónJournal of Asian Economics
DOI
EstadoPublished - dic 1 2011

Huella dactilar

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

Citar esto

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Real interest parity: A note on Asian countries using panel stationarity tests. / Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore.

En: Journal of Asian Economics, 01.12.2011, p. 550-557.

Resultado de la investigación: Contribución a RevistaArtículo

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