Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5052633 | Economic Analysis and Policy | 2016 | 13 Pages |
Abstract
This study applies a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010), to revisit the real interest rate parity (RIP) in BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) against the United States over the period of January 1996 to September 2015. The empirical results indicate that real interest rate parity holds in Brazil, Russia and China.
Related Topics
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Authors
Mohsen Bahmani-Oskooee, Tsangyao Chang, Ming-Hsien Yang, Hong-LÇe Yang,