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A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration

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Cooray, AV (2007) A Re-examination of the Real Interest Parity Condition Using Threshold Cointegration. Discussion Paper. University of Tasmania, School of Economics & Finance, Tasmania.

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Abstract

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.

Item Type: Report (Discussion Paper)
Keywords: REPEC, real interest parity, threshold cointegration, threshold error correction, asymmetric adjustment, non-linear adjustment
Publisher: University of Tasmania, School of Economics & Finance
Date Deposited: 10 Oct 2007 03:35
Last Modified: 18 Nov 2014 03:23
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