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

Producción científica: Contribución a revista › Artículo de Investigación › revisión exhaustiva

9 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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	550-557
Número de páginas	8
Publicación	Journal of Asian Economics
Volumen	22
N.º	6
DOI	https://doi.org/10.1016/j.asieco.2011.04.002
Estado	Publicada - dic 2011

Áreas temáticas de ASJC Scopus

Finanzas
Economía y econometría

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10.1016/j.asieco.2011.04.002

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title = "Real interest parity: A note on Asian countries using panel stationarity tests",

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

Resumen

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