SYMMETRIC AND ASYMMETRIC NONLINEAR DYNAMICS IN REAL INTEREST RATE PARITY
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, cilt.45, sa.2, ss.223-234, 2011 (SCI-Expanded)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 45 Sayı: 2
- Basım Tarihi: 2011
- Dergi Adı: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.223-234
- Anahtar Kelimeler: Non-linearities, Real interest rate differentials, Unit roots, Asymmetric adjustment, Emerging Markets, UNIT-ROOT TESTS, EXCHANGE-RATES, INTEREST DIFFERENTIALS, COUNTRIES, MONETARY, ADJUSTMENT, MARKETS, REGIME, POWER
- Çanakkale Onsekiz Mart Üniversitesi Adresli: Hayır
Özet
This study analyzes the validity of the real interest rate parity hypothesis for 16 emerging market countries using Japan and United States as base countries for the post-1990 period. We use a recently introduced nonlinear test which tests the null hypothesis of unit root against the alternative of symmetric/asymmetric exponential smooth transition autoregressive model. The results show evidence in support of the real interest rate parity hypothesis for the all countries in the sample.