Real interest rate parity in the ASEAN-5 countries : a nonlinear perspective

Baharumshah Ahmad Zubaidi, and Liew, Venus Khim Sen and Hamzah, Nor Aishah (2008) Real interest rate parity in the ASEAN-5 countries : a nonlinear perspective. Applied Economics Letters, 15 (12). pp. 955-958. ISSN 1350-4851

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Abstract

This article aims at testing real interest parity (RIP) by using nonlinear unit root tests. The results from Kapetanios et al. (2003) demonstrated that the adjustment of ASEAN-5 real interest rates towards real interest rates in Japan and the US follows a nonlinear (stationary) process. Overall, the evidence is in favour of RIP.

Item Type: Article
Uncontrolled Keywords: Real interest rate, ASEAN, Nonlinear
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 09 Nov 2011 08:22
Last Modified: 19 Oct 2017 02:18
URI: http://eprints.ums.edu.my/id/eprint/1287

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