Does the real interest parity hypothesis hold? Evidence for developed and emerging markets

Arbeitspapier

Evidence is presented on the Real Interest Parity Hypothesis for a set of emerging and developed countries. This is done by carrying out a set of unit-root tests on the real interest differentials with respect to Germany and the US. Our results support the hypothesis of a rapid reversion towards a zero differential for developed countries and towards a positive one for emerging markets. An important result is that this adjustment tends to be highly asymmetric and markedly different for developed and emerging countries. Our evidence reveals a high degree of market integration for developed countries and highlights the importance of risk premia for emerging markets.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Department of Economics Discussion Paper ; No. 03,01

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Current Account Adjustment; Short-term Capital Movements ; International Investment; Long-term Capital Movements ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Thema: Real Interest Rate Differentials ; Market Integration ; Unit Roots ; Asymmetric adjustment ; Zinsparität ; Realzins ; Marktintegration ; Unit Root Test ; Vergleich ; Industriestaaten ; Schwellenländer

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ferreira, Alex Luiz ; León-Ledesma, Miguel A.
• Ereignis: Veröffentlichung
• (wer): University of Kent, Department of Economics
• (wo): Canterbury
• (wann): 2003

Weitere Informationen

• Handle: http://hdl.handle.net/10419/68129
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ