Are real interest rates stationary? New evidence from the multivariate ARDL unit root test

被引：1

作者：

Goh, Soo Khoon ^{[1
,3
]}

Sam, Chung Yan ^{[1
]}

Goh, Kim-Leng ^{[2
]}

机构：

[1] Univ Sains Malaysia, Ctr Policy Res, Georgetown, Penang, Malaysia

[2] Univ Malaya, Fac Business & Econ, Kuala Lumpur, Malaysia

[3] Univ Sains Malaysia, Ctr Policy Res, Georgetown 11800, Penang, Malaysia

来源：

APPLIED ECONOMICS LETTERS | 2024年

关键词：

Real interest rate; multivariate ARDL unit root test; cointegration; Asia countries;

D O I：

10.1080/13504851.2024.2332520

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The stationarity of real interest rates of 29 open Asian economies is investigated using a recently developed multivariate ARDL unit root test with better size properties and higher power than conventional univariate unit root tests. The results confirmed non-stationarity in the real interest rates of these economies. An advantage of this new test is non-stationary covariates can be included in the test regression. This feature led to the new finding that the real interest rate non-stationarity is also due to variations in world interest rates.

引用

页数：5

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