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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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  • Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
    • Handle: RePEc:eee:ecmode:v:36:y:2014:i:c:p:120-129
    DOI: 10.1016/j.econmod.2013.09.017
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    2. Mohsen Bahmani‐Oskooee & Tsangyao Chang & Zahra (Mila) Elmi & Omid Ranjbar, 2019. "Real Interest Rate Parity And Fourier Quantile Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 348-358, July.
    3. Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J., 2018. "Testing for a unit root against ESTAR stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-29, February.
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    5. Mustapha Ibn Boamah, 2018. "Real interest parity: Evidence from trade partnerships," Review of Financial Economics, John Wiley & Sons, vol. 36(3), pages 199-205, July.

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    More about this item

    Keywords

    Real interest rate parity; Transition countries; Nonlinearity;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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