Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective

Ahmad Zubaidi Baharumshah (), Venus Liew and Nor Aishah Hamzah

Applied Economics Letters, 2008, vol. 15, issue 12, 955-958

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.

Date: 2008
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DOI: 10.1080/13504850600949152

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