Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/108563
Authors: 
Holmes, Mark J.
Otero, Jesús
Panagiotidis, Theodore
Year of Publication: 
2011
Series/Report no.: 
Koç University-TÜSİAD Economic Research Forum Working Paper Series 1117
Abstract: 
Existing panel data studies of real interest parity are either unable to identify which panel members are characterised by stationary real interest differentials, or are subject to size distortion resulting from the presence of structural breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao (2008) that allows for structural breaks and cross-sectional dependency, we are unable to reject the stationarity of Asian real interest rate differentials.
Subjects: 
Heterogeneous dynamic panels
real interest parity
mean reversion
panel stationarity test
JEL: 
C33
F36
G15
Document Type: 
Working Paper

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