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Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries

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  • Khalid Kisswani

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  • Salah Nusair

    ()

Abstract

We examine the dynamics of convergence in seven Asian countries for nominal and real interest rates, and inflation rates. We test for convergence relative to the U.S. and Japan, using quarterly data 1973:2–2011:3, employing nonlinear unit root tests. The linearity test shows evidence of nonlinearity in all the cases. In most cases, we find evidence of logistic smooth transition autoregression-type non-linearity. Moreover, nonlinear unit root tests reveal evidence of nonlinear stationary nominal and real interest rates and inflation differentials in all cases. We interpret these results as convergence in inflation rates and real and nominal interest rates. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Khalid Kisswani & Salah Nusair, 2014. "Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries," Economic Change and Restructuring, Springer, vol. 47(3), pages 155-186, August.
  • Handle: RePEc:kap:ecopln:v:47:y:2014:i:3:p:155-186
    DOI: 10.1007/s10644-013-9146-7
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    References listed on IDEAS

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    Cited by:

    1. Luis A. Gil-Alana & Andrea Mervar & James E. Payne, 2017. "The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence," Economic Change and Restructuring, Springer, vol. 50(1), pages 45-58, February.

    More about this item

    Keywords

    Interest rates convergence; Inflation convergence; Nonlinear unit root tests; F15; F36; F41; F42;

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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