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.
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Goh et al. (2024) studied this question.
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