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Yilanci V., BOZOKLU Ş.
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, vol.45, no.2, pp.223-234, 2011 (SCI-Expanded)
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ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
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 University Affiliated:
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.