Smooth Breaks and Nonlinear Mean Reversion in Real Interest Parity: Evidence form East Asian countries

2018-06-28

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Smooth Breaks and Nonlinear Mean Reversion in Real Interest Parity: Evidence form East Asian Countries
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This study aims to explore the empirical validity of the real interest rate parity (RIP) hypothesis for East Asian countries using Japan as the base country. To this end, we employ the recently proposed unit root tests of Christopoulos and Leon-Ledesma (2010) that account for both multiple smooth structural breaks of unknown form and nonlinear mean reversion in the series. Our empirical results uncover overwhelming evidences in favor of the RIP hypothesis for the whole countries in our sample. More spe...
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This study aims to explore the empirical validity of the real interest rate parity (RIP) hypothesis for East Asian countries using Japan as the base country. To this end, we employ the recently proposed unit root tests of Christopoulos and Leon-Ledesma that account for both multiple smooth structural breaks of unknown form and nonlinear mean reversion in the series. Our empirical results uncover overwhelming evidences in favor of the RIP hypothesis for the whole countries in our sample. More specifically, t...
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Citation Formats
A. Gülcü and D. Yıldırım Kasap, “Smooth Breaks and Nonlinear Mean Reversion in Real Interest Parity: Evidence form East Asian countries,” 2018, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/71468.