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-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 45 Sayı: 2
  • Basım Tarihi: 2011
  • Dergi Adı: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.223-234
  • İstanbul Üniversitesi Adresli: Evet

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.