References
- Anoruo , E , Ramchander , S and Thiewe , FH . 2002 . International linkage of interest rates evidence from the emerging economies of Asia . Global Finance Journal , 13 : 217 – 35 .
- Baharumshah , AZ , Hwa , CT and Fountas , S . 2005 . A panel study on real interest rate parity in East Asian countries: pre and post liberalization era . Global Finance Journal , 16 : 69 – 85 .
- Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
- Bai , J and Perron , P . 2003 . Critical values for multiple structural change tests . Econometrics Journal , 6 : 72 – 8 .
- Banerjee , A , Marcellino , M and Osbat , C . 2005 . Testing for PPP: should we use panel methods? . Empirical Economics , 30 : 77 – 91 .
- Bergin , PR and Sheffrin , SM . 2000 . Interest rates, exchange rate and present value models of the current account . Economic Journal , 110 : 535 – 58 .
- Breitung , J . 2000 . “ The local power of some unit root tests for panel data ” . In Nonstationary Panels, Panel Cointegration and Dynamics Panels , Edited by: Baltagi , BH . 161 – 78 . Amsterdam : Elsevier .
- Breuer , JB , McNown , R and Wallace , MS . 2001 . Misleading inferences from panel unit root tests with an illustration from purchasing power parity . Review of International Economics , 9 : 482 – 93 .
- Breuer , JB , McNown , R and Wallace , MS . 2002 . Series-specific unit root tests with panel data . Oxford Bulletin of Economics and Statistics , 64 : 527 – 46 .
- Byun , J-C and Chen , S-N . 1996 . International real interest rate parity with error correction models . Global Finance Journal , 7 : 129 – 51 .
- Camarero , M , Carrion-i-Silvestre , JL and Tamarit , C . 2006 . Testing for hysteresis in unemployment in OECD countries: new evidence using stationarity panel tests with breaks . Oxford Bulletin of Economics and Statistics , 68 : 167 – 82 .
- Camarero , M , Carrion-i-Silvestre , JL and Tamarit , C . 2009 . Testing for real interest rate parity using panel stationarity tests with dependence: a note . The Manchester School , 77 : 112 – 26 .
- Carrion-i-Silvestre , JL , Del Barrio-Castro , T and López-Bazo , E(CDL) . 2004 . Evidence of the purchasing power parity in a panel of cities . Applied Economics , 36 : 961 – 6 .
- Carrion-i-Silvestre , JL , Del Barrio-Castro , T and López-Bazo , E(CDL) . 2005 . Breaking the panels: an application to the GDP per capita . Econometrics Journal , 8 : 159 – 75 .
- Cheung , Y-W , Chinn , MD and Fujii , E . 2003 . China, Hong Kong and Taiwan: a quantitative assessment of real and financial integration . China Economic Review , 14 : 281 – 303 .
- Cheung , Y-W , Chinn , MD and Fujii , E . 2006 . The Chinese economies in global context: the integration process and its determinants . Journal of Japanese and International Economics , 20 : 128 – 53 .
- Chinn , MD and Frankel , JA . 1995 . Who drives real interest rates around the Pacific rim: the USA or Japan? . Journal of International Money and Finance , 14 : 801 – 21 .
- Choudhry , T . 2005 . Asian currency crisis and the generalized PPP: evidence from the Far East . Asian Economic Journal , 19 : 137 – 57 .
- Cumby , R and Obstfeld , M . 1984 . “ International interest rate and price-level linkages under flexible exchange rates: a review of evidence ” . In Exchange Rate Theory and Practice , Edited by: Bilson , JFO and Marston , RC . 121 – 51 . Chicago : University of Chicago Press .
- De Brouwer , G . 1999 . Financial Integration in East Asia , Cambridge : Cambridge University Press .
- Evans , MDD and Lewis , KK . 1995 . Do expected shifts in inflation affect the estimates of the long-run Fisher relation? . Journal of Finance , 50 : 225 – 53 .
- Frankel , JA . 1991 . “ Quantifying international capital mobility ” . In National Saving and Economic Performance , Edited by: Bernheim , D and Shoven , JB . 227 – 60 . Chicago : University of Chicago Press .
- Fraser , P and Taylor , MP . 1990 . Some efficient tests of international real interest rate parity . Applied Economics , 22 : 1083 – 92 .
- Fujii , E and Chinn , MD . 2002 . Fin de siècle real interest parity . Journal of International Financial Markets, Institutions and Money , 11 : 289 – 308 .
- Ghosh , A . 1995 . International capital mobility amongst the major industrialized countries: too much or too little? . Economic Journal , 105 : 107 – 28 .
- Grenville , S . 2000 . “ Capital flows and crisis ” . In The Asian Financial Crisis and the Architecture of Global Finance , Edited by: Noble , GW and Ravenhill , J . 36 – 56 . Cambridge : Cambridge University Press .
- Hadri , K . 2000 . Testing for stationarity in heterogenous panel data . Econometrics Journal , 3 : 148 – 61 .
- Harris , RDF and Tzavalis , E . 1999 . Inferences for unit roots in dynamic panels where the time dimension is fixed . Journal of Econometrics , 91 : 201 – 26 .
- Hlouskova , J and Wagner , M . 2006 . The performance of panel unit root and stationarity tests: results from a large scale simulation study . Econometric Reviews , 25 : 85 – 116 .
- Holmes , MJ . 2002 . Does long-run real interest rate parity hold among EU countries? Some new panel data evidence . The Quarterly Review of Economics and Finance , 42 : 733 – 46 .
- Holmes , MJ and Maghrebi , N . 2004 . Asian real interest rates, nonlinear dynamics, and international parity . International Review of Economics and Finance , 13 : 387 – 405 .
- Husted , S . 1992 . The emerging US current account deficit in the 1980s: a cointegration analysis . The Review of Economics and Statistics , 74 : 159 – 66 .
- Im , KS , Pesaran , MH and Shin , Y (IPS) . 1997 . “ Testing for unit roots in heterogeneous panels ” . Revised version of Department of Applied Economics (DAE) Working Paper No. 9526 University of Cambridge .
- Im , KS , Pesaran , MH and Shin , Y(IPS) . 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
- Karfakis , C . 1996 . Testing the intertemporal model of the current account: some evidence from Greece . Applied Economics Letters , 3 : 759 – 62 .
- Lee , H-Y and Wu , J-L . 2004 . Convergence of interest rates around the Pacific rim . Applied Economics , 36 : 1281 – 8 .
- Levin , A and Lin , CF . 1993 . Unit root tests in panel data: new results , Discussion Paper No. 56 University of California at San Diego (UCSD) .
- Levin , A , Lin , CF and Chu , C(LLC) . 2002 . Unit root tests in panel data: asymptotic and finite-sample properties . Journal of Econometrics , 108 : 1 – 24 .
- Maddala , GS and Wu , S . 1999 . A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics , 61 : 631 – 52 .
- Narayan , PK and Narayan , S . 2009 . Is there a unit root in the inflation rate? New evidence from panel data models with multiple breaks . Applied Economics , DOI: 10.1080/00036840701721596
- O’Connell , P . 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 : 1 – 19 .
- Ogawa , E and Kawasaki , K . 2003 . Possibility of creating a common currency basket for East Asia , Discussion Paper No. 5 Tokyo, , Japan : JBIC Institute .
- Phylaktis , K . 1997 . Capital market integration in the Pacific Basin countries: an analysis of real interest rate linkages . Pacific-Basin Finance Journal , 5 : 195 – 213 .
- Phylaktis , K . 1999 . Capital market integration in the Pacific Basin region: an impulse response analysis . Journal of International Money and Finance , 18 : 267 – 87 .
- Pipatchaipoom , O and Norrbin , SC . 2008 . Is the real interest rate parity condition affected by the method of calculating the real interest rates? . Applied Economics , DOI: 10.1080/00036840701736073
- Sarno , L and Taylor , MP . 1998 . Real exchange rates under the recent float: unequivocal evidence of mean reversion . Economic Letters , 60 : 131 – 7 .
- Sun , L . 2004 . Measuring time-varying capital mobility in East Asia . China Economic Review , 15 : 281 – 91 .
- Taylor , MP and Sarno , L . 1998 . The behavior of real exchange rates during the post-Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
- Wu , JL and Chen , SL . 1998 . A re-examination of real interest parity . Canadian Journal of Economics , 31 : 837 – 51 .
- Wu , JL and Fountas , S . 2000 . Real interest parity under regime shifts and implications for monetary policy . The Manchester School , 68 : 685 – 700 .
- Wu , Y . 1996 . Are real exchange rates nonstationary? Evidence from a panel-data test . Journal of Money, Credit and Banking , 28 : 34 – 46 .