Abstract:
Based on the monthly data of the 27 countries along the "Belt and Road" in time series from 2005 to 2017, this paper uses quantile unit root test to verify the validity of the theory of real interest rate parity in the "Belt and Road" countries, and analyzes the asymmetric mean reversion of the real interest rate deviation sequence under different sub locations.The empirical study shows that the differentials of only 11 out of 27 countries are stable.This paper considers the mean reversion speed of differentials under different quantile levels, and summarizes the four trends of the actual spread, and provides guidance for the integration of different categories of "Belt and Road" countries with China's financial and commodity markets, and further finds out the prerequisite that China could become a leading country along the "Belt and Road".