Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests
Mark Holmes (),
Jesus Otero () and
Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum
Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials.
Keywords: Heterogeneous dynamic panels; real interest parity; mean reversion; panel stationarity test. (search for similar items in EconPapers)
JEL-codes: C33 F36 G15 (search for similar items in EconPapers)
Pages: 23 pages
New Economics Papers: this item is included in nep-sea
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Journal Article: Real interest parity: A note on Asian countries using panel stationarity tests (2011)
Working Paper: Real Interest Parity: A note on Asian countries using panel stationarity tests (2011)
Working Paper: Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:koc:wpaper:1117
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