Real interest parity: A note on Asian countries using panel stationarity tests
Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel statio...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2011 |
| País: | Colombia |
| Institución: | Universidad del Rosario |
| Repositorio: | Repositorio EdocUR - U. Rosario |
| Idioma: | inglés |
| OAI Identifier: | oai:repository.urosario.edu.co:10336/22240 |
| Acceso en línea: | https://doi.org/10.1016/j.asieco.2011.04.002 https://repository.urosario.edu.co/handle/10336/22240 |
| Access Level: | acceso abierto |
| Palabra clave: | Heterogeneous dynamic panels Mean reversion Panel stationarity test Real interest parity |
| Sumario: | Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials. © 2011 Elsevier Inc.. |
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