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Is the adjustment to real interest rate parity asymmetric?

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journal contribution
posted on 2024-11-14, 14:11 authored by Arusha Cooray
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.

History

Citation

Cooray, A. V. (2009). Is the adjustment to real interest rate parity asymmetric?. Empirica, 36 (4), 407-418.

Journal title

Empirica

Volume

36

Issue

4

Pagination

407-418

Language

English

RIS ID

29623

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