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Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests

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  • Öge Güney, Pelin
  • Hasanov, Mübariz

Abstract

In this paper we investigate the real interest parity hypothesis for ten post-Soviet transition countries with respect to Russia, the USA and Germany. For this purpose, we employ conventional linear unit root tests as well as a nonlinear unit root test developed by Kapetanios et al. (2003) to examine stationarity properties of real interest rate differentials of the transition countries vis-à-vis Russia, the USA, and Germany. The results provide evidence in favor of real interest rate parity for most of the series, especially when possible nonlinearities in the adjustment process are taken into account.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 36 (2014)
Issue (Month): C ()
Pages: 120-129

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Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:120-129

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Real interest rate parity; Transition countries; Nonlinearity;

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