The repository is currently being upgraded to DSpace 7. Temporarily, only admins can login. Submission of items and changes to existing items is prohibited until the completion of this upgrade process.
Non–Linear Convergence in Asian Interest and Inflation Rates: Evidence from Asian Countries
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.