期刊論文
| 學年 | 111 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2023-03-01 |
| 作品名稱 | Real Interest Rate Parity in the Pacific Rim Countries: New Empirical Evidence |
| 作品名稱（其他語言） | |
| 著者 | Wu, An-chi |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Empirical Economics 64, p.1471–1515 |
| 摘要 | This paper revisits the real interest rate parity (RIP) hypothesis for the Pacific Rim countries under considerations of structural breaks in the auxiliary regression. To this end, we make use of a set of state-of-the-art unit root tests. We find strong evidence in favor of the RIP hypothesis by using the unit root tests considering smooth structural breaks. The empirical results are almost unchanged using the unit root test incorporating abrupt structural breaks. The smooth-break models have better goodness of fit than the abrupt-break models in characterizing the long-run trend of real interest rate differentials of the countries examined. The results of the simulation experiments show that the smooth-break unit root test can capture the feature of the abrupt unit root test, but not vice versa. Empirical evidence reveals a high degree of market integration for the Pacific Rim countries over time allowing for structural breaks. |
| 關鍵字 | Real interest rate parity;Real interest rate differential;Structural break;Unit root |
| 語言 | en_US |
| ISSN | 1435-8921 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI Scopus ABS* NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | AUT |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/124990 ) |