THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS

DOI10.1111/j.1467-8586.2008.00288.xzbMath1168.91373OpenAlexW2142342216MaRDI QIDQ3393946

Ahmad Zubaidi Baharumshah, Chan Tze Haw, Venus Khim-Sen Liew

Publication date: 28 August 2009

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: http://psasir.upm.edu.my/id/eprint/17287/1/The%20real%20interest%20rate%20differential.pdf

zbMATH Keywords

nonlinearitiesunit root testsreal interest parity

Mathematics Subject Classification ID

Related Items (1)

Testing for a unit root against ESTAR stationarity

Cites Work

• Nonlinear mean reversion in real exchange rates.
• Testing for a unit root in the nonlinear STAR framework
• Do high interest rates stem capital outflows?
• Testing for a unit root in time series regression
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• The behavior of US public debt: A nonlinear perspective

This page was built for publication: THE REAL INTEREST RATE DIFFERENTIAL: INTERNATIONAL EVIDENCE BASED ON NON-LINEAR UNIT ROOT TESTS