REAL INTEREST RATE PARITY HYPOTHESIS: EVIDENCE FROM MALAYSIA AND THAILAND

Abstract

Author(s): Tamat SARMID, Mustafa CAGLAYAN

Employing cointegration test that allow for structural breaks in the cointegrating vector, we test for the real interest rate parity hypothesis for Malaysia and Thailand using US as the base country over 1990:01- 2006:12. We capture effect of the East Asian economic crisis and find evidence in support of real interest rate convergence for Thailand but not for Malaysia.

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