Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests

dc.authorid Hasanov, Mubariz/0000-0003-0216-9531
dc.authorid Hasanov, Mübariz/0000-0003-0216-9531
dc.authorscopusid 18634795300
dc.authorscopusid 23977832700
dc.authorwosid Hasanov, Mubariz/GMX-0254-2022
dc.authorwosid Hasanov, Mübariz/AAT-7120-2021
dc.contributor.author Guney, Pelin Oge
dc.contributor.author Hasanov, Mubariz
dc.date.accessioned 2024-05-25T11:23:21Z
dc.date.available 2024-05-25T11:23:21Z
dc.date.issued 2014
dc.department Okan University en_US
dc.department-temp [Guney, Pelin Oge] Hacettepe Univ, Dept Econ, TR-06800 Ankara, Turkey; [Hasanov, Mubariz] Okan Univ, Dept Banking & Finance, TR-34959 Istanbul, Turkey en_US
dc.description Hasanov, Mubariz/0000-0003-0216-9531; Hasanov, Mübariz/0000-0003-0216-9531 en_US
dc.description.abstract In this paper we investigate the real interest parity hypothesis for ten post-Soviet transition countries with respect to Russia, the USA and Germany. For this purpose, we employ conventional linear unit root tests as well as a nonlinear unit root test developed by Kapetanios et al. (2003) to examine stationarity properties of real interest rate differentials of the transition countries vis-a-vis Russia, the USA, and Germany. The results provide evidence in favor of real interest rate parity for most of the series, especially when possible nonlinearities in the adjustment process are taken into account. (C) 2013 Elsevier B.V. All rights reserved. en_US
dc.identifier.citationcount 12
dc.identifier.doi 10.1016/j.econmod.2013.09.017
dc.identifier.endpage 129 en_US
dc.identifier.issn 0264-9993
dc.identifier.issn 1873-6122
dc.identifier.scopus 2-s2.0-84885699412
dc.identifier.scopusquality Q1
dc.identifier.startpage 120 en_US
dc.identifier.uri https://doi.org/10.1016/j.econmod.2013.09.017
dc.identifier.uri https://hdl.handle.net/20.500.14517/719
dc.identifier.volume 36 en_US
dc.identifier.wos WOS:000329887800015
dc.identifier.wosquality Q1
dc.language.iso en
dc.publisher Elsevier en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 12
dc.subject Real interest rate parity en_US
dc.subject Transition countries en_US
dc.subject Nonlinearity en_US
dc.title Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests en_US
dc.type Article en_US
dc.wos.citedbyCount 12

Files