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Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration

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  • Bahmani-Oskooee, Mohsen
  • Chang, Tsangyao
  • Yang, Ming-Hsien
  • Yang, Hong-Lǜe

Abstract

This study applies a newly-developed Autoregressive Distributed Lag (ADL) test for threshold cointegration, proposed by Li and Lee (2010), to revisit the real interest rate parity (RIP) in BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) against the United States over the period of January 1996 to September 2015. The empirical results indicate that real interest rate parity holds in Brazil, Russia and China.

Suggested Citation

  • Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Yang, Ming-Hsien & Yang, Hong-Lǜe, 2016. "Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration," Economic Analysis and Policy, Elsevier, vol. 51(C), pages 86-89.
    • Handle: RePEc:eee:ecanpo:v:51:y:2016:i:c:p:86-89
    DOI: 10.1016/j.eap.2016.06.004
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    2. Zixiong Xie & Shyh-Wei Chen & An-Chi Wu, 2023. "Real interest rate parity in the Pacific Rim countries: new empirical evidence," Empirical Economics, Springer, vol. 64(3), pages 1471-1515, March.

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    More about this item

    Keywords

    Real interest rate parity; BRICS countries; ADL test; Threshold cointegration;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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