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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Official URL: http://dx.doi.org/10.1080/13504850600949152

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
ID Code:1287
Deposited By:IR Admin
Deposited On:09 Nov 2011 16:22
Last Modified:17 Feb 2015 16:57

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