Real Interest Rate Parity in the Pacific Rim Countries: New Empirical Evidence
學年 111
學期 1
出版（發表）日期 2022-08-02
作品名稱 Real Interest Rate Parity in the Pacific Rim Countries: New Empirical Evidence
作品名稱（其他語言）
著者 Wu, An-chi
單位
出版者
著錄名稱、卷期、頁數 Empirical Economics 64,　p.1471–1515
摘要 This paper revisits the real interest rate parity (RIP) hypothesis for the Pacific Rim countries under considerations of structural breaks in the auxiliary regression. To this end, we make use of a set of state-of-the-art unit root tests. We find strong evidence in favor of the RIP hypothesis by using the unit root tests considering smooth structural breaks. The empirical results are almost unchanged using the unit root test incorporating abrupt structural breaks. The smooth-break models have better goodness of fit than the abrupt-break models in characterizing the long-run trend of real interest rate differentials of the countries examined. The results of the simulation experiments show that the smooth-break unit root test can capture the feature of the abrupt unit root test, but not vice versa. Empirical evidence reveals a high degree of market integration for the Pacific Rim countries over time allowing for structural breaks.
關鍵字 Real interest rate parity;Real interest rate differential;Structural break;Unit root
語言 en_US
ISSN 1435-8921
期刊性質 國外
收錄於 SSCI Scopus ABS* NotTSSCI
產學合作
通訊作者
審稿制度 是
國別 AUT
公開徵稿
出版型式 ,電子版
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