Real interest parity: A note on Asian countries using panel stationarity tests

被引：8
|
作者：
Holmes, Mark J. [1 ]
Otero, Jesus [2 ]
Panagiotidis, Theodore [3 ]
机构：
[1] Univ Waikato, Dept Econ, Hamilton, New Zealand
[2] Univ Rosario, Fac Econ, Bogota, Colombia
[3] Univ Macedonia, Dept Econ, Thessaloniki, Greece
来源：
JOURNAL OF ASIAN ECONOMICS | 2011年 / 22卷 / 06期
关键词：
Heterogeneous dynamic panels; Real interest parity; Mean reversion; Panel stationarity test;
D O I：
10.1016/j.asieco.2011.04.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials. (C) 2011 Elsevier Inc. All rights reserved.
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页码：550 / 557
页数：8
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