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Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration

Listed author(s):
  • Bahmani-Oskooee, Mohsen
  • Chang, Tsangyao
  • Yang, Ming-Hsien
  • Yang, Hong-Lǜe

This study applies a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010), to revisit the real interest rate parity (RIP) in BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) against the United States over the period of January 1996 to September 2015. The empirical results indicate that real interest rate parity holds in Brazil, Russia and China.

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File URL: http://www.sciencedirect.com/science/article/pii/S0313592616300479
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Article provided by Elsevier in its journal Economic Analysis and Policy.

Volume (Year): 51 (2016)
Issue (Month): C ()
Pages: 86-89

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Handle: RePEc:eee:ecanpo:v:51:y:2016:i:c:p:86-89
DOI: 10.1016/j.eap.2016.06.004
Contact details of provider: Web page: http://www.journals.elsevier.com/economic-analysis-and-policy

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