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Real interest parity: A note on Asian countries using panel stationarity tests

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

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.

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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 22 (2011)
Issue (Month): 6 ()
Pages: 550-557

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Handle: RePEc:eee:asieco:v:22:y:2011:i:6:p:550-557
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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