A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration

Cooray, Arusha (2007) A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration. Discussion Paper. University of Tasmania, School of Economics & Finance, Tasmania.

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Abstract

Threshold cointegration is employed in this study to test the real interest parity condition between the UK and the US. Evidence supports the asymmetric adjustment of real interest rates. The threshold error correction models indicate that negative deviations from long run real interest parity are eliminated faster than positive deviations.

Item Type:	Report (Discussion Paper)
Keywords:	REPEC, real interest parity, threshold cointegration, threshold error correction, asymmetric adjustment, non-linear adjustment
Subjects:	360000 Policy and Political Science
ID Code:	2139
Deposited By:	Ms Tracy Kostiuk
Deposited On:	10 Oct 2007 14:35
Last Modified:	09 Jan 2008 02:30
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