A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era
This study examines the mean reverting behavior of real interest differentials in ten Asian economies using Japan as the base country. We obtain a number of interesting results: first, the conventional ADF test fails to support Real Interest Parity (RIP) for at least half of the countries, even for...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2005
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| Online Access: | http://psasir.upm.edu.my/id/eprint/40297/1/A%20panel%20study%20on%20real%20interest%20rate%20parity%20in%20East%20Asian%20countries%20pre-%20and%20post-liberalization%20era.pdf |
| _version_ | 1796973712322330624 |
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| author | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos |
| author_facet | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos |
| author_sort | Baharumshah, Ahmad Zubaidi |
| collection | UPM |
| description | This study examines the mean reverting behavior of real interest differentials in ten Asian economies using Japan as the base country. We obtain a number of interesting results: first, the conventional ADF test fails to support Real Interest Parity (RIP) for at least half of the countries, even for the post-financial liberalization period. Second, the evidence based on panel unit root tests demonstrates that real interest rate differentials exhibit mean reverting behavior and are characterized by long-memory dynamics. Finally, the evidence suggests that deviations from RIP have a half-life of approximately 6 to 7 months. |
| first_indexed | 2024-03-06T08:46:39Z |
| format | Article |
| id | upm.eprints-40297 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:46:39Z |
| publishDate | 2005 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | upm.eprints-402972015-09-17T00:15:48Z http://psasir.upm.edu.my/id/eprint/40297/ A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos This study examines the mean reverting behavior of real interest differentials in ten Asian economies using Japan as the base country. We obtain a number of interesting results: first, the conventional ADF test fails to support Real Interest Parity (RIP) for at least half of the countries, even for the post-financial liberalization period. Second, the evidence based on panel unit root tests demonstrates that real interest rate differentials exhibit mean reverting behavior and are characterized by long-memory dynamics. Finally, the evidence suggests that deviations from RIP have a half-life of approximately 6 to 7 months. Elsevier 2005-08 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/40297/1/A%20panel%20study%20on%20real%20interest%20rate%20parity%20in%20East%20Asian%20countries%20pre-%20and%20post-liberalization%20era.pdf Baharumshah, Ahmad Zubaidi and Chan, Tze Haw and Fountas, Stilianos (2005) A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era. Global Finance Journal, 16 (1). pp. 69-85. ISSN 1044-0283; ESSN: 1873-5665 http://www.sciencedirect.com/science/article/pii/S1044028305000177 10.1016/j.gfj.2005.05.005 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Chan, Tze Haw Fountas, Stilianos A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title | A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title_full | A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title_fullStr | A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title_full_unstemmed | A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title_short | A panel study on real interest rate parity in East Asian countries: pre- and post-liberalization era |
| title_sort | panel study on real interest rate parity in east asian countries pre and post liberalization era |
| url | http://psasir.upm.edu.my/id/eprint/40297/1/A%20panel%20study%20on%20real%20interest%20rate%20parity%20in%20East%20Asian%20countries%20pre-%20and%20post-liberalization%20era.pdf |
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