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- Title
SYMMETRIC AND ASYMMETRIC NONLINEAR DYNAMICS IN REAL INTEREST RATE PARITY.
- Authors
YILANCI, Veli; BOZOKLU, Şeref
- Abstract
The article presents a study which examines the validity of the real interest rate parity (RIRP) hypothesis for 16 developing countries including Argentina, Philippines, and Turkey. The study used a nonlinear test to analyze the null hypothesis of unit root against asymmetric or asymmetric exponential smooth transition autoregressive model and considered the U.S. and Japan as base countries in 1990s. Results show facts which support the RIRP hypothesis in all emerging market countries.
- Subjects
ARGENTINA; PHILIPPINES; TURKEY; UNITED States; JAPAN; INTEREST rate parity theorem; EMERGING markets; NONLINEAR theories
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2011, Vol 45, Issue 2, p1
- ISSN
0424-267X
- Publication type
Article