Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries

Khalid Kisswani and Salah Nusair

Economic Change and Restructuring, 2014, vol. 47, issue 3, 155-186

Abstract: We examine the dynamics of convergence in seven Asian countries for nominal and real interest rates, and inflation rates. We test for convergence relative to the U.S. and Japan, using quarterly data 1973:2–2011:3, employing nonlinear unit root tests. The linearity test shows evidence of nonlinearity in all the cases. In most cases, we find evidence of logistic smooth transition autoregression-type non-linearity. Moreover, nonlinear unit root tests reveal evidence of nonlinear stationary nominal and real interest rates and inflation differentials in all cases. We interpret these results as convergence in inflation rates and real and nominal interest rates. Copyright Springer Science+Business Media New York 2014

Keywords: Interest rates convergence; Inflation convergence; Nonlinear unit root tests; F15; F36; F41; F42 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10644-013-9146-7

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