, Volume 36, Issue 4, pp 407–418

Is the adjustment to real interest rate parity asymmetric?

Original Paper

DOI: 10.1007/s10663-009-9101-z

Cite this article as:
Cooray, A. Empirica (2009) 36: 407. doi:10.1007/s10663-009-9101-z


Threshold cointegration is employed in this study to test the real interest parity condition between the UK and the US. Evidence supports the asymmetric adjustment of real interest rates. The threshold error correction models indicate that negative deviations from long run real interest parity are eliminated faster than positive deviations.

JEL Classification

E43 F36 F41 


Real interest parity Threshold cointegration Threshold error correction Asymmetric adjustment Non-linear adjustment 

Copyright information

© Springer Science+Business Media, LLC. 2009

Authors and Affiliations

  1. 1.School of EconomicsUniversity of WollongongWollongongAustralia

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