Real interest rate parity in the ASEAN-5 countries : a nonlinear perspective.
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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Routledge
2008
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/16434/1/Real%20interest%20rate%20parity%20in%20the%20ASEAN.pdf |