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Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration

Mohsen Bahmani-Oskooee (), Tsangyao Chang (), Ming-Hsien Yang and Hong-Lǜe Yang

Economic Analysis and Policy, 2016, vol. 51, issue C, 86-89

Abstract: This study applies a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010), to revisit the real interest rate parity (RIP) in BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) against the United States over the period of January 1996 to September 2015. The empirical results indicate that real interest rate parity holds in Brazil, Russia and China.

Keywords: Real interest rate parity; BRICS countries; ADL test; Threshold cointegration (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2016
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