A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration
AbstractThreshold cointegration is employed in this study to test the real interest parity condition between the UK and the US. Evidence supports the asymmetric adjustment of real interest rates. The threshold error correction models indicate that negative deviations from long run real interest parity are eliminated faster than positive deviations.
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Bibliographic InfoPaper provided by University of Tasmania, School of Economics and Finance in its series Working Papers with number 2139.
Length: 11 pages
Date of creation: Feb 2007
Date of revision: Feb 2007
Publication status: Published by Universtiy of Tasmania Discussion Paper February 2007.
real interest parity; threshold cointegration; threshold error correction; asymmetric adjustment; non-linear adjustment;
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