Request for help in cointegration

[Rashad Omanoor]

Respect Sir and group members, below is the doubt raised my friend, can I get a reply on this. Thanking you in advance. 

"My research work contains stock and foreign exchange markets from 15 countries 

5 developed countries

5 Emerging countries

5 Frontier countries

The main objective is to test the cointegration among the markets. 

My expert told me to add interest rate as a control variable.  

So, my doubt is whether i need to include interest rate of all these 15 countries as control variables? 

Another doubt is when I take interest rate which rate is correct? Repo rate or call money rate etc.?"

With regards 

Rashad. 

[Miklesh Yadav]

Dear Rashad,

Interest rate is used both as an independent variable and a control variable in the context of a long-run relationship or cointegration among variables. In your context, it can be used as a control variable. As regards a proxy for interest rate, you'd better use the repo rate.

Regards

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[Rashad Omanoor]

Thank you Sir for your response🙏

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