This study applies Narayan and Popp's () unit-root test with two endogenous breaks to assess the validity of long-run real interest rate parity (RIRP) via investigating the non-stationary properties of the real interest rate convergence relative to South Africa for ten African countries. This...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This study applies Narayan and Popp's ([Narayan, P. K., 2010]) unit-root test with two endogenous breaks to assess the validity of long-run real interest rate parity (RIRP) via investigating the non-stationary properties of the real interest rate convergence...</p>

This study applies the sequential panel selection method (SPSM), proposed by Chortareas and Kapetanios (2009), to assess the non-stationary properties of the real interest rates relative to China for ten East Asian countries. SPSM can classify the whole panel into a group of stationary series...

Using the threshold auto-regressive (TAR) model, we set out in this study to determine whether any long-run equilibrium relationship exists between the stock and real estate markets of the European countries, with our empirical results revealing that such a long-term relationship does indeed...

This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the threshold models by Enders and Granger (1998) and Enders and Siklos (2001). Based upon our adoption in this study of the threshold...

This study applies nonlinear panel unit root test to assess the nonstationary properties of the real exchange rate for seven Central and Eastern European countries (CEEC). We find that nonlinear panel unit root test has higher power than linear method suggested by Breuer et al. (2001) if the...

In this study, we use panel cointegration methods to investigate the relationship between stock prices and earnings-per-share (EPS). Furthermore, we consider whether stock prices respond to EPS under the different level of growth rate of operating revenue. The empirical result indicated that the...

This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the non-parametric rank tests proposed by Breitung (2001). Based upon our adoption in this study of the threshold error-correction model...

In this study we apply flexible Fourier stationarity unit root testing as proposed by Enders and Lee (2004, 2009) to assess the nonstationary properties of per capita real gross domestic product (GDP) for nine central and east European (CEE) countries. We find that the Fourier stationary unit...

This study applies nonlinear cointegration to assess exchange rates with the corresponding relative prices and aggregate price levels for seven Central and East European countries (CEECs). We find that nonparametric rank testing procedures have higher power than parametric testing procedures, as...