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...

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Tipo de recurso:
Fecha de publicación:
2011
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
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
Palabra clave:
Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Real interest parity
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dc.title.spa.fl_str_mv Real interest parity: A note on Asian countries using panel stationarity tests
title Real interest parity: A note on Asian countries using panel stationarity tests
spellingShingle Real interest parity: A note on Asian countries using panel stationarity tests
Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Real interest parity
title_short Real interest parity: A note on Asian countries using panel stationarity tests
title_full Real interest parity: A note on Asian countries using panel stationarity tests
title_fullStr Real interest parity: A note on Asian countries using panel stationarity tests
title_full_unstemmed Real interest parity: A note on Asian countries using panel stationarity tests
title_sort Real interest parity: A note on Asian countries using panel stationarity tests
dc.subject.keyword.spa.fl_str_mv Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Real interest parity
topic Heterogeneous dynamic panels
Mean reversion
Panel stationarity test
Real interest parity
description 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..
publishDate 2011
dc.date.created.spa.fl_str_mv 2011
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dc.identifier.issn.none.fl_str_mv 10490078
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https://repository.urosario.edu.co/handle/10336/22240
identifier_str_mv 10490078
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dc.relation.citationIssue.none.fl_str_mv No. 6
dc.relation.citationStartPage.none.fl_str_mv 550
dc.relation.citationTitle.none.fl_str_mv Journal of Asian Economics
dc.relation.citationVolume.none.fl_str_mv Vol. 22
dc.relation.ispartof.spa.fl_str_mv Journal of Asian Economics, ISSN:10490078, Vol.22, No.6 (2011); pp. 550-557
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