《A re-examination of real interest parity in CEECs using old and new
generations of panel unit root tests》
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作者:
Claudiu Tiberiu Albulescu (CRIEF), Dominique Pepin (CRIEF), Aviral
Kumar Tiwari
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最新提交年份:
2014
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英文摘要:
This study applies old and new generations of panel unit root tests to test the validity of long-run real interest rate parity (RIP) hypothesis for ten Central and Eastern European Countries (CEECs) with respect to the Euro area and an average of the CEECs\' real interest rates, respectively. When the panel unit root tests are carried out with respect to the Euro area rate, we confirm the results of previous studies which support the RIP hypothesis. Nevertheless, when the test is performed using the average of the CEECs\' rate, our results are mitigated, revealing that the hypothesis of CEECs\' interest rates convergence cannot be taken for granted. From a robustness analysis perspective, our findings indicate that the RIP hypothesis for CEECs should be considered with cautions, being sensitive to the benchmark.
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中文摘要:
本研究采用新旧两代面板单位根检验,分别对10个中欧和东欧国家(CEEC)的欧元区长期实际利率平价(RIP)假设和CEEC实际利率平均值的有效性进行检验。当对欧元区利率进行面板单位根检验时,我们确认了先前支持RIP假说的研究结果。然而,当使用CEECs利率的平均值进行检验时,我们的结果有所缓和,这表明CEECs利率趋同的假设并非理所当然。从稳健性分析的角度来看,我们的研究结果表明,CEEC的RIP假设应谨慎考虑,对基准敏感。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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