A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration
Threshold 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.
|Date of creation:||Feb 2007|
|Date of revision:||Feb 2007|
|Publication status:||Published by Universtiy of Tasmania Discussion Paper February 2007.|
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