In: Ekonomický časopis/Journal of Economics, vol. 62, no. 1
Chi-Wei-su - Xia Jiang - Hsu-Ling Chang
Detaily:
Rok, strany: 2014, 3 - 18
Kľúčové slová:
Keywords: unit root test with two endogenous breaks, real Interest Rate Parity
JEL Classification: C22, F36
Typ článku: Vedecký / Article
O článku:
This study applies Narayan and Popp’s (2010) unit-root test with two endogenous breaks, which has been proven to be more powerful than the other unit root tests with two breaks (Narayan and Popp, 2013) to assess the non-statio¬nary properties of the real interest rate parity (RIRP) for thirteen Central and Eastern European (CEE) countries. We examine the validity of RIRP from the unit root with two breaks of view and provide robust evidence which clearly indicates that RIRP holds true for six countries. Our findings point out their real interest rate convergence is mean reversion towards RIRP equilibrium values with two structural breaks. Our results have important policy implications for these CEE countries under study.
This study applies Narayan and Popp’s (2010) unit-root test with two endogenous breaks, which has been proven to be more powerful than the other unit root tests with two breaks (Narayan and Popp, 2013) to assess the non-statio¬nary properties of the real interest rate parity (RIRP) for thirteen Central and Eastern European (CEE) countries. We examine the validity of RIRP from the unit root with two breaks of view and provide robust evidence which clearly indicates that RIRP holds true for six countries. Our findings point out their real interest rate convergence is mean reversion towards RIRP equilibrium values with two structural breaks. Our results have important policy implications for these CEE countries under study.
Ako citovať:
ISO 690:
Chi-Wei-su, ., Xia Jiang, ., Hsu-Ling Chang, . 2014. Real Interest Rate Parity for Central and Eastern European Countries: A New Unit Root Test with Two Structural Breaks. In Ekonomický časopis/Journal of Economics, vol. 62, no.1, pp. 3-18. 0013-3035.
APA:
Chi-Wei-su, ., Xia Jiang, ., Hsu-Ling Chang, . (2014). Real Interest Rate Parity for Central and Eastern European Countries: A New Unit Root Test with Two Structural Breaks. Ekonomický časopis/Journal of Economics, 62(1), 3-18. 0013-3035.