Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
This study applies Narayan and Popp’s (2010) unit-root test with two endogenous breaks, which has been proven to be more powerful than the other unit root tests with two breaks (Narayan and Popp, 2013) to assess the non-stationary properties of the real interest rate parity (RIRP) for thirteen Central and Eastern European (CEE) countries. We examine the validity of RIRP from the unit root with two breaks of view and provide robust evidence which clearly indicates that RIRP holds true for six countries. Our findings point out their real interest rate convergence is mean reversion towards RIRP equilibrium values with two structural breaks. Our results have important policy implications for these CEE countries under study.
Słowa kluczowe
Wydawca
Czasopismo
Rocznik
Tom
Numer
Strony
3 – 18
Opis fizyczny
Twórcy
autor
- Ocean University of China, School of Economics, Department of Finance, 238, Songling Rd., Qingdao, Shandong, China, cwsu7137@gmail.com
autor
autor
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.cejsh-0f5ce8e2-ab0a-4eff-9ffd-ba7c46ef9f25