Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/108563
Autoren: 
Holmes, Mark J.
Otero, Jesús
Panagiotidis, Theodore
Datum: 
2011
Reihe/Nr.: 
Working Paper 1117
Zusammenfassung: 
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.
Schlagwörter: 
Heterogeneous dynamic panels
real interest parity
mean reversion
panel stationarity test
JEL: 
C33
F36
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
253.75 kB





Publikationen in EconStor sind urheberrechtlich geschützt.