A RE‐EXAMINATION OF REAL INTEREST PARITY IN CEECs USING ‘OLD’ AND ‘NEW’ SECOND‐GENERATION PANEL UNIT ROOT TESTS

Albulescu, Claudiu Tiberiu; Pépin, Dominique; Tiwari, Aviral Kumar

doi:10.1111/boer.12052

Cited by 12 publications

(8 citation statements)

References 60 publications

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“…Our results are, to some extent, comparable to those obtained by Sonora and Tica (2014) and Albulescu et al (2016). Similarly, we find that real interest rate differentials exhibit significant instabilities, and although in general the interest rate parity holds for the CEE countries, there are exceptions to this rule.…”

Section: Discussionsupporting

confidence: 88%

“…The authors conclude that the real interest rates generally reverse to the parity over the period 1996-2011, both against the EMU and the US 1 . These results, however, are only partly confirmed by Albulescu et al (2016) who highlight the sensitivity of real interest rates stationarity to the choice of benchmark rates, as well as the shortcomings of panel unit root tests.…”

Section: Literature Reviewmentioning

confidence: 95%

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Real interest rate differentials between Central and Eastern European countries and the euro area

Janus

2019

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Research background: The question of changes in real interest rates differentials between the Euro Area and the CEE countries in the last years is raised because of two main reasons. The first rationale is related to the growing importance of external financial factors for the CEE economies and their monetary autonomy. The second reason is associated with the unprecedented shift in monetary conditions in the EMU, brought about by negative interest rates policy and unconventional policies, and the way it impacts the real rates in the CEE economies. Purpose of the article: This paper aims at exploring the relationship between real interest rates in the Euro Area and ten countries: Albania, Bulgaria, the Czech Republic, Hungary, North Macedonia, Moldova, Poland, Romania, Turkey, and Ukraine. The analysis covers the years of 1999-2018, including periods before and after the financial and economic crisis. Methods: We employ Markov-switching regression to construct the ex-ante real interest rates series in each country, using monthly data on short-term interest rates and CPI inflation rates. A battery of unit root and stationarity test, both standard and panel ones, is applied to examine the real interest rate parity, also allowing for a structural break in the rate differentials. Findings & Value added: We provide detailed evidence on the real interest rates differentials for all of the CEE countries vis-à-vis the Euro Area. We find that, while panel stationarity tests point to the stability of real rate differentials, there are significant dissimilarities across the countries, and the results of the univariate tests are often mixed. At least half of the economies, however, reveal similar patterns of stationarity in real rates relationships. At the same time, we find differentials for the Czech Republic, Hungary, and Poland, countries highly integrated into the EMU economy, to be unstable over time.

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Section: Discussionsupporting

confidence: 88%

Section: Literature Reviewmentioning

confidence: 95%

Real interest rate differentials between Central and Eastern European countries and the euro area

Janus

2019

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“…Besides, Pesaran [24] is robust when time-series' heteroscedasticity is observed in the unobserved common factor [53]. Even though theoretically Moon and Perron [45], Choi [54] and Pesaran [24] require large N and T, Pesaran [24] is uniquely robust in small sample sizes [55]. Therefore, this study employs the CIPS test to take into account CD, heteroskedasticity in the unobserved common factor and both large and small sample countries.…”

Section: Unit Root Testmentioning

confidence: 99%

The impact of food insecurity on health outcomes: Empirical evidence from sub-Saharan African countries

Beyene¹

2022

Preprint

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Background: Globally, food insecurity is a leading cause of morbidity and mortality through other diseases, which means food security and nutrition are crucial to improving people's health outcomes. Both food insecurity and the health outcomes are the policy and agenda of the 2030 Sustainable Development Goals (SDGs). However, there is a lack of macro-level empirical studies concerning the relationship between food insecurity and health outcomes in sub-Saharan African (SSA) countries, even though the region is highly affected by food insecurity and its related health problems. Therefore, this study aims to examine the impact of food insecurity on life expectancy and infant mortality in SSA countries.Methods: The study uses secondary panel data collected from international institutions. It also mainly employs Driscoll-Kraay standard errors (DKSE), a generalised method of momentum (GMM), fixed effects (FE) and Granger causality approaches, along with others estimation techniques for robustness checks. Results: The DKSE result of model 1A confirms that a one percent increment in people’s prevalence for undernourishment reduces their life expectancy by 0.0034 percentage points. However, a one percentage increment in average dietary energy supply increases SSA countries' life expectancy by 0.0031 percentage points in model 1B. The FE results show that a one percent increment in the prevalence of undernourishment leads to an enhancement of infant mortality by 0.0119 percentage points in model 1C. However, the GMM result for model 1D confirms that a one percent increment in average dietary energy supply reduces infant mortality by 0.0004 percentage points.Conclusions: Food insecurity harms the health status of SSA countries, but food security impacts in the reverse direction. In other words, prevalence of undernourishment adversely affects life expectancy and it increases infant mortality. Moreover, an improvement in average dietary energy supply can improve life expectancy and reduces infant mortality. The study recommends efficient utilisation of resources; improvements in investment in agricultural research, markets, infrastructures, macroeconomic policies and institutions; and developing sub-region strategies based on their agro-ecological zone, all of which are essential to overcome food insecurity and improve health outcomes.

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“…(), Byrne and Nagayasu (), Tsong and Lee (), Albulescu et al . (), 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: 95%

“…They supported the stationarity for some pairs and rejected it for some other pairs. Suspecting that univariate unit root tests suffer from low power, Camarero et al (2010), Byrne and Nagayasu (2012), Tsong and Lee (2013), Albulescu et al (2016), Su (2015), andCorakci et al (2017) used different panel unit root tests and again, supported the parity hypothesis across most pairs of countries.…”

Section: Introductionmentioning

confidence: 99%

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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A RE‐EXAMINATION OF REAL INTEREST PARITY IN CEECs USING ‘OLD’ AND ‘NEW’ SECOND‐GENERATION PANEL UNIT ROOT TESTS

Cited by 12 publications

References 60 publications

Real interest rate differentials between Central and Eastern European countries and the euro area

Real interest rate differentials between Central and Eastern European countries and the euro area

The impact of food insecurity on health outcomes: Empirical evidence from sub-Saharan African countries

Real Interest Rate Parity and Fourier Quantile Unit Root Test

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