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Crisis and Volatility in Asian Versus Latin American Real Exchange Rates

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  • Andre Varella Mollick

Abstract

Examining quarterly real exchange rates (RER) from 1976 to 2006 in panels of Asian and Latin American countries, shows that crisis-battered Asian currencies incur a higher speed of adjustment towards purchasing power parity (PPP). The degree of mean reversion of the three most volatile Asian currencies is very fast (about 1.8 quarters) during the floating regime compared to 40 quarters in the pre-crisis period. Panel cointegration tests confirm that the rejection of the null of no-cointegration between exchange rates and relative prices is more prevalent for Asian currencies (than for Latin American currencies) in the post-crisis period (than in the pre-crisis period).

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Bibliographic Info

Article provided by CEPII research center in its journal Economie Internationale.

Volume (Year): (2009)
Issue (Month): 117 ()
Pages: 5-29

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Handle: RePEc:cii:cepiei:2009-1ta

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Related research

Keywords: Currency crisis; half-lives; PPP; real exchange rates; volatility;

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Cited by:
  1. SATO Kiyotaka & SHIMIZU Junko & Nagendra SHRESTHA & Shajuan ZHANG, 2013. "Exchange Rate Appreciation and Export Price Competitiveness: Industry-specific real effective exchange rates of Japan, Korea, and China," Discussion papers 13032, Research Institute of Economy, Trade and Industry (RIETI).
  2. Chin-Ping King, 2012. "Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 8(1), pages 1-23, January.

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