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 |
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| container_title | Bulletin of economic research |
| container_volume | 71 |
| creator | Bahmani‐Oskooee, Mohsen Chang, Tsangyao Elmi, Zahra (Mila) Ranjbar, Omid |
| description | 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. |
| doi_str_mv | 10.1111/boer.12177 |
| format | Article |
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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.</description><identifier>ISSN: 0307-3378</identifier><identifier>EISSN: 1467-8586</identifier><identifier>DOI: 10.1111/boer.12177</identifier><language>eng</language><publisher>Oxford: Blackwell Publishing Ltd</publisher><subject>asymmetric dynamics ; breaks ; C32 ; Economic models ; F36 ; Fourier expansion ; Interest rate parity theorem ; Interest rates ; quantile regression ; real interest rate parity ; sharp breaks</subject><ispartof>Bulletin of economic research, 2019-07, Vol.71 (3), p.348-358</ispartof><rights>2018 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd</rights><rights>2019 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3347-3e3d320a17bed6225691986df21a30363cd4d8dcb128dbcca305d1da82f208333</citedby><cites>FETCH-LOGICAL-c3347-3e3d320a17bed6225691986df21a30363cd4d8dcb128dbcca305d1da82f208333</cites><orcidid>0000-0002-8242-7715</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fboer.12177$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fboer.12177$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,776,780,1411,27903,27904,45553,45554</link.rule.ids></links><search><creatorcontrib>Bahmani‐Oskooee, Mohsen</creatorcontrib><creatorcontrib>Chang, Tsangyao</creatorcontrib><creatorcontrib>Elmi, Zahra (Mila)</creatorcontrib><creatorcontrib>Ranjbar, Omid</creatorcontrib><title>REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST</title><title>Bulletin of economic research</title><description>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.</description><subject>asymmetric dynamics</subject><subject>breaks</subject><subject>C32</subject><subject>Economic models</subject><subject>F36</subject><subject>Fourier expansion</subject><subject>Interest rate parity theorem</subject><subject>Interest rates</subject><subject>quantile regression</subject><subject>real interest rate parity</subject><subject>sharp breaks</subject><issn>0307-3378</issn><issn>1467-8586</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2019</creationdate><recordtype>article</recordtype><recordid>eNp9kF9LwzAUxYMoOKcvfoKAb0Jn_rRJ9uBD3TItlFZj-uBTaJsUNqadqUP27c2sz14uXDj87jlwALjGaIbD3DW98zNMMOcnYIJjxiORCHYKJogiHlHKxTm4GIYNQohhHk_AvZJpDrNCSyVfNVSplvA5VZl-g2mxhKuyUplU8KVKC53lElZFFqiy1FAH_hKcdfV2cFd_dwqqldSLpygvH7NFmkctpXHIddRSgmrMG2cZIQmb47lgtiO4pogy2trYCts2mAjbtG0QE4ttLUhHkKCUTsHN6Lvz_efeDV9m0-_9R4g0wS2sYCQJ1O1Itb4fBu86s_Pr99ofDEbmWI851mN-6wkwHuHv9dYd_iHNQynV-PMDLhBgfA</recordid><startdate>201907</startdate><enddate>201907</enddate><creator>Bahmani‐Oskooee, Mohsen</creator><creator>Chang, Tsangyao</creator><creator>Elmi, Zahra (Mila)</creator><creator>Ranjbar, Omid</creator><general>Blackwell Publishing Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><orcidid>https://orcid.org/0000-0002-8242-7715</orcidid></search><sort><creationdate>201907</creationdate><title>REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST</title><author>Bahmani‐Oskooee, Mohsen ; Chang, Tsangyao ; Elmi, Zahra (Mila) ; Ranjbar, Omid</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3347-3e3d320a17bed6225691986df21a30363cd4d8dcb128dbcca305d1da82f208333</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2019</creationdate><topic>asymmetric dynamics</topic><topic>breaks</topic><topic>C32</topic><topic>Economic models</topic><topic>F36</topic><topic>Fourier expansion</topic><topic>Interest rate parity theorem</topic><topic>Interest rates</topic><topic>quantile regression</topic><topic>real interest rate parity</topic><topic>sharp breaks</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bahmani‐Oskooee, Mohsen</creatorcontrib><creatorcontrib>Chang, Tsangyao</creatorcontrib><creatorcontrib>Elmi, Zahra (Mila)</creatorcontrib><creatorcontrib>Ranjbar, Omid</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Bulletin of economic research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bahmani‐Oskooee, Mohsen</au><au>Chang, Tsangyao</au><au>Elmi, Zahra (Mila)</au><au>Ranjbar, Omid</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST</atitle><jtitle>Bulletin of economic research</jtitle><date>2019-07</date><risdate>2019</risdate><volume>71</volume><issue>3</issue><spage>348</spage><epage>358</epage><pages>348-358</pages><issn>0307-3378</issn><eissn>1467-8586</eissn><abstract>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.</abstract><cop>Oxford</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/boer.12177</doi><tpages>11</tpages><orcidid>https://orcid.org/0000-0002-8242-7715</orcidid></addata></record> |
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| ispartof | Bulletin of economic research, 2019-07, Vol.71 (3), p.348-358 |
| issn | 0307-3378 1467-8586 |
| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; Business Source Complete |
| subjects | asymmetric dynamics breaks C32 Economic models F36 Fourier expansion Interest rate parity theorem Interest rates quantile regression real interest rate parity sharp breaks |
| title | REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST |
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