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Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Department of Economics Discussion Paper No. 03,01
Verlag: 
University of Kent, Department of Economics, Canterbury
Zusammenfassung: 
Evidence is presented on the Real Interest Parity Hypothesis for a set of emerging and developed countries. This is done by carrying out a set of unit-root tests on the real interest differentials with respect to Germany and the US. Our results support the hypothesis of a rapid reversion towards a zero differential for developed countries and towards a positive one for emerging markets. An important result is that this adjustment tends to be highly asymmetric and markedly different for developed and emerging countries. Our evidence reveals a high degree of market integration for developed countries and highlights the importance of risk premia for emerging markets.
Schlagwörter: 
Real Interest Rate Differentials
Market Integration
Unit Roots
Asymmetric adjustment
JEL: 
F32
F21
C22
Dokumentart: 
Working Paper

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