Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests

Mark Holmes (), Jesus Otero and Theodore Panagiotidis

Working Paper series from Rimini Centre for Economic Analysis

Abstract: 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)
Date: 2011-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.rcea.org/RePEc/pdf/wp23_11.pdf (application/pdf)

Related works:
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)
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:rim:rimwps:23_11

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().