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New Evidence of the Real Interest Rate Parity for OECD Countries Using Panel Unit Root Tests with Breaks
Camarero, Mariam - 2011
This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence...
Persistent link: https://www.econbiz.de/10013124651
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Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience
Gente, Karine; Leon-Ledesma, Miguel A. - 2004
generations model of a semi-small open economy. The equilibrium RER depreciates (appreciates) when the world interest rate …
Persistent link: https://www.econbiz.de/10014071797
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PPP and the Real Exchange Rate - Real Interest Rate Differential Puzzle Revisited : Evidence from Non-Stationary Panel Data
Chortareas, Georgios E.; Driver, Rebecca L. - 2005
-Bretton Woods era. The results are obtained using new non-stationary panel estimation techniques, which significantly increase the … differentials. The tests are conducted on a panel of 18 OECD economies using the United States as a numeraire for the post … contrasts with earlier panel data studies, which tended to find that the real exchange rate was stationary. The results …
Persistent link: https://www.econbiz.de/10014128562
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A re-examination of real interest parity in ceecs using "old" and "new" second-generation panel unit root tests
Albulescu, Claudiu Tiberiu; Pépin, Dominique; Tiwari, … - In: Bulletin of economic research 68 (2016) 2, pp. 133-150
Persistent link: https://www.econbiz.de/10011496421
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Testing three models in international economics : the Purchasing Power Parity model, the Interest Rate Parity model and the monetary model : the case of the Turkish Lira and the US...
Vasilev, Aleksandar; Pavlov, Plamen; Rainov, Stefan; … - 2002
The goal of this empirical project is to test the validity of three economic models - The General Monetary, The Purchasing Power Parity and The Interest Rate Parity models in Turkey - basing on quarterly data for the period 1975 - 1999. The project takes into account the serious economic shocks...
Persistent link: https://www.econbiz.de/10011427574
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The Nominal Exchange Rate and Fundamentals : New Evidence from Threshold Unit Root Tests
Sekioua, Sofiane H. - 2003
In this letter we model the deviation of the nominal exchange rate from the long run equilibrium level predicted by monetary fundamentals in a nonlinear framework consistent with the presence of transaction costs. We consider a novel approach that allows for the joint testing of nonlinearity and...
Persistent link: https://www.econbiz.de/10014075254
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Interplays among R&D spending, patent and income growth : new empirical evidence from the panel of countries and groups
Das, Ramesh Chandra - In: Journal of innovation and entrepreneurship : JIE 9 (2020) 18, pp. 1-22
-run dynamics among R&D spending, number of patents and per capita income growth in the panel of countries and groups for the period … 1996-2017. Using VAR model for the panel data, the study observes that R&D spending, number of patents and per capita …
Persistent link: https://www.econbiz.de/10012294665
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China, Hong Kong, and Taiwan : a quantitative assessment of real and financial integration
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011514149
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China, Hong Kong, and Taiwan : a quantitative assessment of real and financial integration
Cheung, Yin-Wong; Chinn, Menzie David; Fujii, Eiji - 2003
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011521444
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Sectoral price divergence between Korea and Japan
Moon, Seongman - In: East Asian economic review 20 (2016) 4, pp. 493-517
econometric method developed by Pesaran which controls for the cross-section dependence in a panel, we are not able to reject the … hypothesis that the sectoral real exchange rates contain a common stochastic trend. On the other hand, the well-known panel unit … the error term of the regression for our panel exhibits significant cross-section dependence, these opposite results …
Persistent link: https://www.econbiz.de/10011765038