ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, vol.45, no.2, pp.223-234, 2011 (SCI-Expanded)
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.