SYMMETRIC AND ASYMMETRIC NONLINEAR DYNAMICS IN REAL INTEREST RATE PARITY


Yilanci V. , Bozoklu S.

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, cilt.45, sa.2, ss.223-234, 2011 (SCI İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 45 Konu: 2
  • Basım Tarihi: 2011
  • Dergi Adı: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
  • Sayfa Sayıları: ss.223-234

Özet

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.