SYMMETRIC AND ASYMMETRIC NONLINEAR DYNAMICS IN REAL INTEREST RATE PARITY

Yilanci V., BOZOKLU Ş.

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

  • Publication Type: Article / Article
  • Volume: 45 Issue: 2
  • Publication Date: 2011
  • Journal Name: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.223-234
  • Keywords: 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: No

Abstract

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.