Non–Linear Convergence in Asian Interest and Inflation Rates: Evidence from Asian Countries

S. Nusair, Kisswani Khaled

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the dynamics of convergence in seven Asian countries for nominal and real interest rates, and inflation rates. We test for convergence relative to the U.S. and Japan, using quarterly data 1973:2–2011:3, employing nonlinear unit root tests. The linearity test shows evidence of nonlinearity in all the cases. In most cases, we find evidence of logistic smooth transition autoregression-type non-linearity. Moreover, nonlinear unit root tests reveal evidence of nonlinear stationary nominal and real interest rates and inflation differentials in all cases. We interpret these results as convergence in inflation rates and real and nominal interest rates.
Original languageAmerican English
Pages (from-to)155-186
JournalEconomic Change and Restructuring
Volume47
Issue number3
StatePublished - 2014

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