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

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posted on 2023-06-09, 05:28 authored by Graeme WellsGraeme Wells
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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    Tasmanian School of Business and Economics

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