Publication:
Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence

cris.virtual.department#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.departmentb88d182f-0036-4bac-a488-1ba8cf5cc660
cris.virtualsource.orcidb88d182f-0036-4bac-a488-1ba8cf5cc660
dc.contributor.affiliationCankaya University; Gazi University; Turk Hava Kurumu University
dc.contributor.authorCorakei, Aysegul; Emirmahmutoglu, Furkan; Omay, Tolga
dc.date.accessioned2024-06-25T11:45:02Z
dc.date.available2024-06-25T11:45:02Z
dc.date.issued2017
dc.description.abstractThis paper investigates the validity of the real interest rate parity hypothesis (RIPH) using a panel unit root approach. For this purpose, first we estimate the possible nonlinear data-generating processes of the real interest rate differential series and using these estimates determine which panel unit root test is better for analyzing the RIPH. To this end, smooth transition autoregressive and threshold autoregressive (TAR) models are estimated for two different panels of countries: G7 and post-Soviet transition economies. The results show that the data displays both strong asymmetry and high transition speed. Therefore, secondly, we propose a new panel unit root test where the alternative is stationary with asymmetric TAR adjustment, and provide their empirical power properties. Finally, we demonstrate that our newly proposed test is able to provide conclusive evidence in favor of the RIPH in contrast to the other panel unit root tests considered.
dc.description.doi10.1007/s10663-015-9312-4
dc.description.endpage120
dc.description.issue1
dc.description.pages30
dc.description.researchareasBusiness & Economics
dc.description.startpage91
dc.description.urihttp://dx.doi.org/10.1007/s10663-015-9312-4
dc.description.volume44
dc.description.woscategoryEconomics
dc.identifier.issn0340-8744
dc.identifier.urihttps://acikarsiv.thk.edu.tr/handle/123456789/1215
dc.language.isoEnglish
dc.publisherSPRINGER
dc.relation.journalEMPIRICA
dc.subjectReal interest rate parity; Asymmetric adjustment; Nonlinear panel unit root; Cross-section dependence
dc.subjectEXCHANGE-RATE REGIMES; COUNTRIES EVIDENCE; NONSTATIONARY; SPECIFICATION; TRANSMISSION; ADJUSTMENT; EXPLAIN; PUZZLE; HOLD
dc.titleRe-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence
dc.typeArticle
dspace.entity.typePublication

Files