SYMMETRIC AND ASYMMETRIC NONLINEAR DYNAMICS IN REAL INTEREST RATE PARITY
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, vol.45, no.2, pp.223-234, 2011 (SCI-Expanded, SSCI, Scopus)
- Publication Type: Article / Article
- Volume: 45 Issue: 2
- Publication Date: 2011
- Journal Name: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
- Page Numbers: pp.223-234
- Istanbul University Affiliated: Yes
Abstract
This study analyzes the validity of the real interest rate parity hypothesis for 16 emerging market countries using Japan and United States as base countries for the post-1990 period. We use a recently introduced nonlinear test which tests the null hypothesis of unit root against the alternative of symmetric/asymmetric exponential smooth transition autoregressive model. The results show evidence in support of the real interest rate parity hypothesis for the all countries in the sample.