Real Interest Parity: A note on Asian Countries Using Panel Stationarity Tests

Serie

• Discussion Paper Series

Resumen

• 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.

autores

• Holmes, Mark
• Otero, Jesús
• Panagiotidis, Theodore

fecha de publicación

• 2011-05

Área temática

• C33 - Modelos de ecuaciones múltiples/simultáneas; Variables múltiples: Modelos con datos de panel; Modelos espacio-temporales
• F36 - Aspectos financieros de la integración económica
• G15 - Mercados financieros internacionales

Enfoque geográfico

• Asia  Continent

Líneas de investigación

• Heterogeneous Dynamic Panels
• Mean Reversion
• Panel Stationarity Test
• Real Interest Parity

Issue

• 2011_06