Treshold Effects in Real Interest Rate Parity for the Central and Eastern European Countries

• Autorzy: Chi-Wei Su , Hsu-Ling Chang , Pei-Long Shen
• Języki publikacji: EN

Abstrakty

EN

This study applies a nonlinear threshold unit-root test to assess the nonstationary properties of the real interest rate parity (RIRP) for twelve Central and Eastern European (CEE) countries. We find that the non-linear threshold unit-root test has a higher power than the linear method suggested by Caner and Hansen (2001) if the true data generating process of real interest rate convergence is in fact a stationary nonlinear process. We examine the validity of RIRP from the nonlinear point of view and provide robust evidence which clearly indicates that RIRP holds true for nine countries. Our findings point out that real interest rate convergence is mean reversion towards RIRP equilibrium values in a nonlinear way.(original abstract)

Słowa kluczowe

EN

Interest rate; Real convergence; Linear models

PL

Stopa procentowa; Konwergencja realna; Modele liniowe

• Czasopismo: Argumenta Oeconomica
• Rocznik: 2012
• Numer: nr 2 (29)
• Strony: 77--88

Twórcy

autor

Chi-Wei Su

• Ocean University of China

autor

Hsu-Ling Chang

• Ling Tung University

autor

Pei-Long Shen

• Shanxi University of Finance and Economics

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