Parity reversion in real interest rate in the Asian countries: further evidence based on local-persistent model

• Main Authors: Baharumshah, Ahmad Zubaidi, Soon, Siew Voon, Hamzah, Nor Aishah
• Format: Article
• Language: English
• Published: Elsevier 2013
• Online Access: http://psasir.upm.edu.my/id/eprint/28300/1/Parity%20reversion%20in%20real%20interest%20rate%20in%20the%20Asian%20countries.pdf; http://psasir.upm.edu.my/id/eprint/28300/; http://www.sciencedirect.com/science/article/pii/S0264999313003404

This paper examines the validity of real interest parity (RIP) for 10 Asian economies over the period 1977–2012 (quarterly frequency). The evidence based on two-break unit root tests reveals that majority of the real interest rate differentials (RIDs) with respect to Germany and the US are stationar...