Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests

Pelin Oge Guney () and Mübariz Hasanov

Economic Modelling, 2014, vol. 36, issue C, 120-129

Abstract: In this paper we investigate the real interest parity hypothesis for ten post-Soviet transition countries with respect to Russia, the USA and Germany. For this purpose, we employ conventional linear unit root tests as well as a nonlinear unit root test developed by Kapetanios et al. (2003) to examine stationarity properties of real interest rate differentials of the transition countries vis-à-vis Russia, the USA, and Germany. The results provide evidence in favor of real interest rate parity for most of the series, especially when possible nonlinearities in the adjustment process are taken into account.

Keywords: Real interest rate parity; Transition countries; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C22 F21 F32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999313003775
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:120-129

DOI: 10.1016/j.econmod.2013.09.017

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().