REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST

被引：6

作者：

Bahmani-Oskooee, Mohsen ^{[1
]}

Chang, Tsangyao ^{[2
]}

Elmi, Zahra ^{[3
]}

Ranjbar, Omid ^{[4
]}

机构：

[1] Univ Wisconsin, Milwaukee, WI 53201 USA

[2] Feng Chia Univ, Taichung, Taiwan

[3] Mazandaran Univ, Mazandaran, Iran

[4] Allameh Tabatabai Univ & Trade Promot Org, Tehran, Iran

来源：

BULLETIN OF ECONOMIC RESEARCH | 2019年 / 71卷 / 03期

关键词：

asymmetric dynamics; breaks; Fourier expansion; quantile regression; real interest rate parity; sharp breaks; C32; F36; INTEREST-RATE EQUALIZATION; EFFICIENT TESTS; COUNTRIES; HYPOTHESIS; INTEGRATION; HOLD; STATIONARITY; RISK;

D O I：

10.1111/boer.12177

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate differentials in 18 out of 21 OECD countries as well as in 4 out of 5 BRICS countries using QURT with sharp and smooth breaks.

引用

页码：348 / 358

页数：11

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