This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the threshold models by Enders and Granger (1998) and Enders and Siklos (2001). Based upon our adoption in this study of the threshold...

Using the threshold auto-regressive (TAR) model, we set out in this study to determine whether any long-run equilibrium relationship exists between the stock and real estate markets of the European countries, with our empirical results revealing that such a long-term relationship does indeed...

This note uses the newly developed panel SURADF tests advanced by Breuer et al. (2001) to investigate the time-series properties of real GDP for 47 African countries for the period 1980 to 2004. While the other Panel-based unit root tests are joint tests of a unit root for all members of the...

With a view to investigating whether the purchasing power parity (PPP) theory holds true for selected African countries during the January 1980-December 2003 period, we employ a rigorous, highly dynamic non-linear (logistic) unit root test, as first advanced by Leybourne et al. (1998), which is...

This study applies non-linear threshold unit-root test to investigate the non-stationary properties of the uncovered interest parity (UIP) with risk premium for ten Central and Eastern European (CEE) countries. We find that non-linear threshold unit-root test has higher power than linear method...

This study applies a simple and powerful nonlinear unit-root test proposed by Sollis (2009) to test the validity of long-run Purchasing Power Parity (PPP) for Germany's real exchange rate <italic>vis-à-vis</italic> its trading partner countries. The empirical results indicate that PPP holds for Germany relative...

In this study, we apply flexible Fourier stationary unit root test proposed by Enders and Lee (2012) to assess the non-stationary properties of the per capita real gross domestic product (GDP) for 32 African countries. We find that Fourier stationary unit root test has higher power than linear...

This study applies the Sequential Panel Selection Method (SPSM) proposed by Chortareas and Kapetanios (2009) to investigate the non-stationary properties of uncovered interest parity (UIP) with the risk premiums of eight East Asian countries relative to China. SPSM can classify the entire panel...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This study applies Narayan and Popp's ([Narayan, P. K., 2010]) unit-root test with two endogenous breaks to assess the validity of long-run real interest rate parity (RIRP) via investigating the non-stationary properties of the real interest rate convergence...</p>

This study applies Narayan and Popp's () unit-root test with two endogenous breaks to assess the validity of long-run real interest rate parity (RIRP) via investigating the non-stationary properties of the real interest rate convergence relative to South Africa for ten African countries. This...