REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST

REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST

ABSTRACT Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate d...

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Veröffentlicht in:Bulletin of economic research 2019-07, Vol.71 (3), p.348-358
Hauptverfasser: Bahmani‐Oskooee, Mohsen, Chang, Tsangyao, Elmi, Zahra (Mila), Ranjbar, Omid
Format: Artikel
Sprache:eng
Schlagworte:
asymmetric dynamics
breaks
C32
Economic models
F36
Fourier expansion
Interest rate parity theorem
Interest rates
quantile regression
real interest rate parity
sharp breaks
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Zusammenfassung:ABSTRACT Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate differentials in 18 out of 21 OECD countries as well as in 4 out of 5 BRICS countries using QURT with sharp and smooth breaks.
ISSN:0307-3378
1467-8586
DOI:10.1111/boer.12177