Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies

Ahmad Zubaidi, Baharumshah and Liew, Venus Khim-Sen and Mittelhammer, Ron (2010) Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies. Global Economic Review, 39 (4). ISSN 1745-1329

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1226508X.2010.533842

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Official URL: http://dx.doi.org/10.1080/1226508X.2010.533842

Abstract

This paper investigates the validity real interest rate parity (RIP) for a sample of 19 OECD and Asian developing economies. The distinction of this paper is that we exploit both linearity and non-linear unit root tests as advocated by Dufrénot et al. (Applied Economics, 38, pp. 203–229, 2006) to validate the parity. The major finding are: (i) the alignments from real interest rate differentials (RIDs) are corrected in a non-linear fashion and that the adjustments is asymmetric in both size and speed; (ii) that RIP holds for the developed and developing countries; and (iii) the empirical results are invariant with respect to the US, Japan or Germany as the centre country.

Item Type: Article
Uncontrolled Keywords: Real interest rate differentials, non-linear, non-stationarity, capital mobility, market integration, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 06 Oct 2017 07:35
Last Modified: 06 Oct 2017 07:35
URI: http://ir.unimas.my/id/eprint/18005

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