Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68129
Authors: 
Ferreira, Alex Luiz
León-Ledesma, Miguel A.
Year of Publication: 
2003
Series/Report no.: 
Department of Economics Discussion Paper, University of Kent 03,01
Abstract: 
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.
Subjects: 
Real Interest Rate Differentials
Market Integration
Unit Roots
Asymmetric adjustment
JEL: 
F32
F21
C22
Document Type: 
Working Paper

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