Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence

Corakci, Aysegul; Emirmahmutoğlu, Furkan; Omay, Tolga

doi:10.1007/s10663-015-9312-4

Cited by 19 publications

(6 citation statements)

References 57 publications

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“…Furthermore, energy use appears as the second most important factor. These findings are in line with those reported previously [ 44 – 47 ]. However, energy consumption and economic growth negatively influence the environment.…”

Section: Resultssupporting

confidence: 94%

“…To experimentally evaluate whether the macroeconomic variables are stationary, five nonlinear unit root tests are applied. We used (FFFFF) [ 43 ], (CEO) [ 44 ], (OSHa) [ 45 ], (OY) [ 46 ], and (OEHa) [ 47 ] tests. The source of nonlinearity of the employed unit root tests has been identified as a time-dependent nonlinearity, as well as a combination of the time-dependent nonlinearity and a state-dependent nonlinearity, which may be referred to as a hybrid form of nonlinearity.…”

Section: Resultsmentioning

confidence: 99%

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Machine Learning-Based Modeling of the Environmental Degradation, Institutional Quality, and Economic Growth

Jabeur¹,

Ballouk

Arfi³

et al. 2021

Environ Model Assess

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Section: Resultssupporting

confidence: 94%

Section: Resultsmentioning

confidence: 99%

Machine Learning-Based Modeling of the Environmental Degradation, Institutional Quality, and Economic Growth

Jabeur¹,

Ballouk

Arfi³

et al. 2021

Environ Model Assess

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“…The other unit root test for structural break is the CEO 4 test. Corakci. et al (2017) consider Equations ( 2a)-(2c) by using the exponential transition function, based on a sample size T as follows:…”

Section: The Other Unit Root Testsmentioning

confidence: 99%

Testing the hysteresis effect in the US state-level unemployment series

Omay

Özcan

Shahbaz

2020

Journal of Applied Economics

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This paper re-examines the stochastic time series behaviour of the monthly unemployment rate in 50 states of the United States (US) for the period 1976-2017 using a number of state-of-the-art unit root tests. The new developments incorporate structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and separate the stationary and nonstationary series in the sample. The empirical findings are in support of the stationarity of unemployment rate in 47 states. The findings confirm a natural rate hypothesis for the labour markets in the most US states, indicating that labour market shocks have solely temporary effects on state-level unemployment. This empirical study provides significant state-specific policy implications.

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“…(), Chang and Su (), and Corakci et al . () used different panel unit root tests and again, supported the parity hypothesis across most pairs of countries.…”

Section: Introductionmentioning

confidence: 82%

Real Interest Rate Parity and Fourier Quantile Unit Root Test

Bahmani‐Oskooee

Chang

Elmi

et al. 2018

Bulletin of Econ Res

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Real interest rate differentials usually exhibit two properties; structural breaks and asymmetric dynamics. In this paper, we use various types of Quantile Unit Root Test (QURT) which accounts for both properties. Unlike previous research, we reject the unit root in the real interest rate differentials in 18 out of 21 OECD countries as well as in 4 out of 5 BRICS countries using QURT with sharp and smooth breaks.

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Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence

Cited by 19 publications

References 57 publications

Machine Learning-Based Modeling of the Environmental Degradation, Institutional Quality, and Economic Growth

Machine Learning-Based Modeling of the Environmental Degradation, Institutional Quality, and Economic Growth

Testing the hysteresis effect in the US state-level unemployment series

Real Interest Rate Parity and Fourier Quantile Unit Root Test

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