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REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST

Mohsen Bahmani‐Oskooee, Tsangyao Chang (), Zahra (Mila) Elmi and Omid Ranjbar
Authors registered in the RePEc Author Service: Mohsen Bahmani-Oskooee ()

Bulletin of Economic Research, 2019, vol. 71, issue 3, 348-358

Abstract: Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate differentials in 18 out of 21 OECD countries as well as in 4 out of 5 BRICS countries using QURT with sharp and smooth breaks.

Date: 2019
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https://doi.org/10.1111/boer.12177

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