摘要：This study applies nonlinear quantile unit root test with Fourier function to test the validity of long-run uncovered interest parity (UIP) to assess the non-stationary properties of the interest differentials convergence for ten Central and Eastern European (CEE) countries.We find that our approximation has higher power to detect U-shaped breaks and smooth breaks than linear method if the true data generating process of risk premium convergence is in fact a stationary non-liner process.We examine the validity of UIP from the non-linear point of view and provide robust evidence clearly indicate that UIP holds true for six CEE countries.Our findings point out the risk premium adjustments of the six CEE countries are mean reversion towards UIP equilibrium values in a non-linear way.
关键词：Quantile Unit Root Test;Structural Change;Trend Breaks;Uncovered Interest Parity
