메뉴 건너뛰기




Volumn 13, Issue 4, 2004, Pages 387-405

Asian real interest rates, nonlinear dynamics, and international parity

Author keywords

Asia; Nonlinearities; Real interest parity

Indexed keywords


EID: 4344576389     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.06.001     Document Type: Article
Times cited : (42)

References (47)
  • 1
    • 0000687701 scopus 로고    scopus 로고
    • Dynamic linkages among real interest rates in international capital market
    • Al Awad M. Goodwin B.K. Dynamic linkages among real interest rates in international capital market Journal of International Money and Finance 17 1998 881-907
    • (1998) Journal of International Money and Finance , vol.17 , pp. 881-907
    • Al Awad, M.1    Goodwin, B.K.2
  • 2
    • 0032413513 scopus 로고    scopus 로고
    • Nonlinear dynamics and covered interest parity
    • Balke N. Wohar M. Nonlinear dynamics and covered interest parity Empirical Economics 23 1998 535-559
    • (1998) Empirical Economics , vol.23 , pp. 535-559
    • Balke, N.1    Wohar, M.2
  • 3
    • 38249015514 scopus 로고
    • The persistence of real interest differentials: A Kalman filtering approach
    • Cavaglia S. The persistence of real interest differentials: A Kalman filtering approach Journal of Monetary Economics 29 1992 429-443
    • (1992) Journal of Monetary Economics , vol.29 , pp. 429-443
    • Cavaglia, S.1
  • 4
    • 58149212970 scopus 로고
    • Who drives real interest rates around the pacific rim: The USA or Japan?
    • Chinn M.D. Frankel J.A. Who drives real interest rates around the pacific rim: The USA or Japan? Journal of International Money and Finance 14 1995 801-821
    • (1995) Journal of International Money and Finance , vol.14 , pp. 801-821
    • Chinn, M.D.1    Frankel, J.A.2
  • 5
    • 0001912746 scopus 로고
    • The international linkage of real interest rates: The European-US connection
    • Cumby R. Mishkin F. The international linkage of real interest rates: The European-US connection Journal of International Money and Finance 5 1986 5-23
    • (1986) Journal of International Money and Finance , vol.5 , pp. 5-23
    • Cumby, R.1    Mishkin, F.2
  • 7
    • 0000522890 scopus 로고
    • Dynamic equilibrium and the real exchange rate in a spatially separated world
    • Dumas B. Dynamic equilibrium and the real exchange rate in a spatially separated world Review of Financial Studies 5 1992 153-180
    • (1992) Review of Financial Studies , vol.5 , pp. 153-180
    • Dumas, B.1
  • 8
    • 0032811935 scopus 로고    scopus 로고
    • Testing for real interest rate convergence in European countries
    • Fountas S. Wu J. Testing for real interest rate convergence in European countries Scottish Journal of Political Economy 46 1999 158-174
    • (1999) Scottish Journal of Political Economy , vol.46 , pp. 158-174
    • Fountas, S.1    Wu, J.2
  • 9
    • 84995733144 scopus 로고
    • On the mark: A theory of floating exchange rates based on real interest differentials
    • Frankel J. On the mark: A theory of floating exchange rates based on real interest differentials American Economic Review 69 1979 610-622
    • (1979) American Economic Review , vol.69 , pp. 610-622
    • Frankel, J.1
  • 10
    • 84963421243 scopus 로고
    • Some efficient tests of international real interest parity
    • Fraser P. Taylor M. Some efficient tests of international real interest parity Applied Economics 22 1990 1083-1092
    • (1990) Applied Economics , vol.22 , pp. 1083-1092
    • Fraser, P.1    Taylor, M.2
  • 11
    • 0000634137 scopus 로고
    • A monetary approach to the exchange rate: Doctrinal aspects of empirical evidence
    • Frenkel J. A monetary approach to the exchange rate: Doctrinal aspects of empirical evidence Scandinavian Journal of Economics 78 1976 200-224
    • (1976) Scandinavian Journal of Economics , vol.78 , pp. 200-224
    • Frenkel, J.1
  • 13
    • 38149145769 scopus 로고
    • Real interest rate equalization and the integration of international financial markets
    • Goodwin B. Grennes T. Real interest rate equalization and the integration of international financial markets Journal of International Money and Finance 13 1994 107-124
    • (1994) Journal of International Money and Finance , vol.13 , pp. 107-124
    • Goodwin, B.1    Grennes, T.2
  • 15
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle Econometrica 57 1989 357-384
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 16
    • 0034808436 scopus 로고    scopus 로고
    • Exchange rate misalignment and nonlinear convergence to purchasing power parity in European exchange rate mechanism
    • Iannizzotto M. Exchange rate misalignment and nonlinear convergence to purchasing power parity in European exchange rate mechanism Applied Financial Economics 11 2001 511-526
    • (2001) Applied Financial Economics , vol.11 , pp. 511-526
    • Iannizzotto, M.1
  • 18
    • 0043043481 scopus 로고    scopus 로고
    • Disinflation and central bank independence in Australia, Canada and New Zealand: Evidence from smooth transition analysis
    • Discussion Paper 97/6. Department of Economics, University of Nottingham
    • Leybourne S. & Mizen P. (1997). Disinflation and central bank independence in Australia, Canada and New Zealand: Evidence from smooth transition analysis. Discussion Paper 97/6. Department of Economics, University of Nottingham.
    • (1997)
    • Leybourne, S.1    Mizen, P.2
  • 21
    • 0035084341 scopus 로고    scopus 로고
    • Non-linearities in the black market zloty-dollar exchange rate: Some further evidence
    • McMillan D. Speight A. Non-linearities in the black market zloty-dollar exchange rate: Some further evidence Scottish Journal of Political Economy 11 2001 209-220
    • (2001) Scottish Journal of Political Economy , vol.11 , pp. 209-220
    • McMillan, D.1    Speight, A.2
  • 22
    • 0000017295 scopus 로고    scopus 로고
    • Transactions costs and nonlinear adjustments in real exchange rates: An empirical investigation
    • Michael P. Nobay A.R. Peel D. Transactions costs and nonlinear adjustments in real exchange rates: An empirical investigation Journal of Political Economy 105 1997 862-879
    • (1997) Journal of Political Economy , vol.105 , pp. 862-879
    • Michael, P.1    Nobay, A.R.2    Peel, D.3
  • 23
    • 0005890219 scopus 로고
    • Business cycle asymmetries and non-linearities in UK macroeconomic time-series
    • Mills T. Business cycle asymmetries and non-linearities in UK macroeconomic time-series Ricerche Economiche 49 1995 97-124
    • (1995) Ricerche Economiche , vol.49 , pp. 97-124
    • Mills, T.1
  • 24
    • 0037685822 scopus 로고
    • Are real interest rates equal across countries: An empirical investigation of international parity conditions
    • Mishkin F. Are real interest rates equal across countries: An empirical investigation of international parity conditions Journal of Finance 39 1984 1345-1357
    • (1984) Journal of Finance , vol.39 , pp. 1345-1357
    • Mishkin, F.1
  • 25
    • 44949279753 scopus 로고
    • A multi-country study of the information in the shorter maturity term structure about future inflation
    • Mishkin F. A multi-country study of the information in the shorter maturity term structure about future inflation Journal of International Money and Finance 10 1991 2-22
    • (1991) Journal of International Money and Finance , vol.10 , pp. 2-22
    • Mishkin, F.1
  • 27
    • 0000083297 scopus 로고    scopus 로고
    • Some evidence on mean reversion in ex ante real interest rates
    • Moosa I. Bhatti R. Some evidence on mean reversion in ex ante real interest rates Scottish Journal of Political Economy 43 1996 177-191
    • (1996) Scottish Journal of Political Economy , vol.43 , pp. 177-191
    • Moosa, I.1    Bhatti, R.2
  • 28
    • 4344653880 scopus 로고    scopus 로고
    • Does real interest parity hold? Empirical evidence from Asia
    • Moosa I. Bhatti R. Does real interest parity hold? Empirical evidence from Asia Keio Economic Studies 33 1996 63-70
    • (1996) Keio Economic Studies , vol.33 , pp. 63-70
    • Moosa, I.1    Bhatti, R.2
  • 30
    • 0000634139 scopus 로고
    • The exchange rate, balance of payments, and monetary and fiscal policy under a regime of controlled floating
    • Mussa M. The exchange rate, balance of payments, and monetary and fiscal policy under a regime of controlled floating Scandinavian Journal of Economics 78 1976 229-248
    • (1976) Scandinavian Journal of Economics , vol.78 , pp. 229-248
    • Mussa, M.1
  • 31
    • 0036220144 scopus 로고    scopus 로고
    • Real exchange rates and real interest differentials: Implications of nonlinear adjustment in real exchange rates
    • Nakagawa H. Real exchange rates and real interest differentials: Implications of nonlinear adjustment in real exchange rates Journal of Monetary Economics 49 2002 629-649
    • (2002) Journal of Monetary Economics , vol.49 , pp. 629-649
    • Nakagawa, H.1
  • 32
    • 0038056312 scopus 로고    scopus 로고
    • Nonlinear aspects of goods market arbitrage and adjustment: Heckschers commodity points revisited
    • Discussion Paper No. 1672. CEPR
    • Obstfeld M. & Taylor A.M. (1997). Nonlinear aspects of goods market arbitrage and adjustment: Heckschers commodity points revisited. Discussion Paper No. 1672. CEPR.
    • (1997)
    • Obstfeld, M.1    Taylor, A.M.2
  • 33
    • 0040805946 scopus 로고    scopus 로고
    • Business cycle non-linearities in UK consumption and production
    • Ocal N. Osborn D. Business cycle non-linearities in UK consumption and production Journal of Applied Econometrics 15 2000 27-43
    • (2000) Journal of Applied Econometrics , vol.15 , pp. 27-43
    • Ocal, N.1    Osborn, D.2
  • 34
    • 0001561726 scopus 로고    scopus 로고
    • Further evidence from breaking trend functions in macroeconomic variables
    • Perron P. Further evidence from breaking trend functions in macroeconomic variables Journal of Econometrics 80 1997 355-385
    • (1997) Journal of Econometrics , vol.80 , pp. 355-385
    • Perron, P.1
  • 35
    • 0031161428 scopus 로고    scopus 로고
    • Capital market integration in the pacific basin region: An analysis of real interest rate linkages
    • Phylaktis K. Capital market integration in the pacific basin region: An analysis of real interest rate linkages Pacific-Basin Finance Journal 5 1997 195-213
    • (1997) Pacific-Basin Finance Journal , vol.5 , pp. 195-213
    • Phylaktis, K.1
  • 36
    • 0000132507 scopus 로고    scopus 로고
    • Capital market integration in the pacific basin region: An impulse response analysis
    • Phylaktis K. Capital market integration in the pacific basin region: An impulse response analysis Journal of International Money and Finance 18 1999 267-287
    • (1999) Journal of International Money and Finance , vol.18 , pp. 267-287
    • Phylaktis, K.1
  • 37
    • 0001864474 scopus 로고    scopus 로고
    • Modeling non-linearities in real effective exchange rates
    • Sarantis N. Modeling non-linearities in real effective exchange rates Journal of International Money and Finance 18 1999 27-45
    • (1999) Journal of International Money and Finance , vol.18 , pp. 27-45
    • Sarantis, N.1
  • 38
    • 0034396024 scopus 로고    scopus 로고
    • Systematic sampling and real exchange rates
    • Sarno L. Systematic sampling and real exchange rates Weltwirtschaftliches Archiv 136 2000 24-57
    • (2000) Weltwirtschaftliches Archiv , vol.136 , pp. 24-57
    • Sarno, L.1
  • 39
    • 0034100497 scopus 로고    scopus 로고
    • Real exchange rate behavior in high inflation countries: Empirical evidence from Turkey, 1980-97
    • Sarno L. Real exchange rate behavior in high inflation countries: Empirical evidence from Turkey, 1980-97 Applied Economics Letters 7 2000 285-291
    • (2000) Applied Economics Letters , vol.7 , pp. 285-291
    • Sarno, L.1
  • 40
    • 0033789095 scopus 로고    scopus 로고
    • Purchasing power parity, non-linearity and chaos
    • Serletis A. Gogas P. Purchasing power parity, non-linearity and chaos Applied Financial Economics 10 2000 615-622
    • (2000) Applied Financial Economics , vol.10 , pp. 615-622
    • Serletis, A.1    Gogas, P.2
  • 42
    • 0001436323 scopus 로고    scopus 로고
    • Potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price
    • Taylor A.M. Potential pitfalls for the purchasing-power-parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price Econometrica 69 2001 473-498
    • (2001) Econometrica , vol.69 , pp. 473-498
    • Taylor, A.M.1
  • 43
    • 84923053681 scopus 로고
    • Specification, estimation, and evaluation of smooth transition autoregressive models
    • Terasvirta T. Specification, estimation, and evaluation of smooth transition autoregressive models Journal of American Statistic Association 89 1994 212-281
    • (1994) Journal of American Statistic Association , vol.89 , pp. 212-281
    • Terasvirta, T.1
  • 44
    • 84986414326 scopus 로고
    • Characterizing nonlinearities in business cycles using smooth transition autoregressive models
    • Terasvirta T. Anderson H.M. Characterizing nonlinearities in business cycles using smooth transition autoregressive models Journal of Applied Econometrics 7 1992 S119-S136
    • (1992) Journal of Applied Econometrics , vol.7
    • Terasvirta, T.1    Anderson, H.M.2
  • 46
    • 84950428199 scopus 로고
    • Testing and modeling threshold autoregressive processes
    • Tsay R. Testing and modeling threshold autoregressive processes Journal of the American Statistical Association 84 1989 231-240
    • (1989) Journal of the American Statistical Association , vol.84 , pp. 231-240
    • Tsay, R.1
  • 47
    • 0032420192 scopus 로고    scopus 로고
    • A re-examination of real interest rate parity
    • Wu J.-L. Chen S.-L. A re-examination of real interest rate parity Canadian Journal of Economics 31 1998 837-851
    • (1998) Canadian Journal of Economics , vol.31 , pp. 837-851
    • Wu, J.-L.1    Chen, S.-L.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.