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

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.

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Year of publication:	2007-02
Authors:	Cooray, Arusha
Institutions:	School of Economics and Finance, Tasmanian School of Business and Economics
Subject:	real interest parity \| threshold cointegration \| threshold error correction \| asymmetric adjustment \| non-linear adjustment

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published by Universtiy of Tasmania Discussion Paper February 2007. Number 2139 11 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730530