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The Real Interest Rate Differential: International Evidence Based On Non-Linear Unit Root Tests

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Author Info
Ahmad Zubaidi Baharumshah
Venus Khim-Sen Liew
Chan Tze Haw

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Article provided by Blackwell Publishing in its journal Bulletin of Economic Research.

Volume (Year): 61 (2009)
Issue (Month): 1 (01)
Pages: 83-94
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Handle: RePEc:bla:buecrs:v:61:y:2009:i:1:p:83-94

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  1. Wu, Jyh-Lin & Fountas, Stilianos, 2000. "Real Interest Rate Parity under Regime Shifts and Implications for Monetary Policy," Manchester School, University of Manchester, vol. 68(6), pages 685-700, December. [Downloadable!] (restricted)
  2. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Crowder, William J., 1995. "Covered interest parity and international capital market efficiency," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 115-132. [Downloadable!] (restricted)
  4. Cavaglia, Stefano, 1992. "The persistence of real interest differentials: A Kalman filtering approach," Journal of Monetary Economics, Elsevier, vol. 29(3), pages 429-443, June. [Downloadable!] (restricted)
  5. Jack Strauss & Mark E. Wohar, 2007. "Domestic–foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models," Southern Economic Journal, Southern Economic Association, vol. 73(3), pages 814–829, January.
  6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  7. Menzie D. Chinn & Jeffrey A. Frankel, 1995. "Who drives real interest rates around the Pacific Rim: the US or Japan?," Pacific Basin Working Paper Series 95-02, Federal Reserve Bank of San Francisco.
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  8. Jyh-Lin Wu & Show-Lin Chen, 1998. "A Re-examination of Real Interest Rate Parity," Canadian Journal of Economics, Canadian Economics Association, vol. 31(4), pages 837-851, November. [Downloadable!] (restricted)
  9. Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. MacDonald, Ronald & Taylor, Mark P, 1989. "Interest Rate Parity: Some New Evidence," Bulletin of Economic Research, Blackwell Publishing, vol. 41(4), pages 255-74, October.
  11. Maurice Obstfeld., 2001. "International Macroeconomics: Beyond the Mundell-Fleming Model," Center for International and Development Economics Research (CIDER) Working Papers C01-121, University of California at Berkeley. [Downloadable!]
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  12. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December. [Downloadable!] (restricted)
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  13. Walter Enders & Kamol Chumrusphonlert, 2004. "Threshold cointegration and purchasing power parity in the pacific nations," Applied Economics, Taylor and Francis Journals, vol. 36(9), pages 889-896, May. [Downloadable!] (restricted)
  14. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February. [Downloadable!] (restricted)
  15. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  16. Holmes, Mark J., 2002. "Does long-run real interest parity hold among EU countries? Some new panel data evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(4), pages 733-746. [Downloadable!] (restricted)
  17. Sarno, Lucio, 2001. "The behavior of US public debt: a nonlinear perspective," Economics Letters, Elsevier, vol. 74(1), pages 119-125, December. [Downloadable!] (restricted)
  18. Mark E. Wohar & Nathan S. Balke, 1998. "Nonlinear dynamics and covered interest rate parity," Empirical Economics, Springer, vol. 23(4), pages 535-559. [Downloadable!] (restricted)
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  19. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October. [Downloadable!] (restricted)
  20. David G. McMillan, 2004. "Non-Linear Error Correction: Evidence for UK Interest Rates," Manchester School, University of Manchester, vol. 72(5), pages 626-640, 09. [Downloadable!] (restricted)
  21. Chortareas, Georgios E. & Kapetanios, George & Shin, Yongcheol, 2002. "Nonlinear mean reversion in real exchange rates," Economics Letters, Elsevier, vol. 77(3), pages 411-417, November. [Downloadable!] (restricted)
  22. Bahmani-Oskooee, Mohsen & Kutan, Ali M. & Zhou, Su, 2007. "Testing PPP in the non-linear STAR framework," Economics Letters, Elsevier, vol. 94(1), pages 104-110, January. [Downloadable!] (restricted)
  23. Pakko, Michael R., 2000. "Do high interest rates stem capital outflows?," Economics Letters, Elsevier, vol. 67(2), pages 187-192, May. [Downloadable!] (restricted)
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