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Are Asian real exchange rates stationary?

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  • Liew, Venus Khim-sen
  • Baharumshah, Ahmad Zubaidi
  • Chong, Terence Tai-leung

Abstract

By applying the newly developed nonlinear stationary test advanced by Kapetanois et al. [Journal of Econometrics 112 (2003) 359 - 379] in examining the stationary property of 11 Asian real exchange rates, this paper rejects unit root in 8 US dollar based and 6 Japanese yen based rates, whereas the augmented Dickey-Fuller test has led to no rejection at all.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4BVP644-1/2/0735f6d5f4cc1eef4256edf9a03ba9b6
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 83 (2004)
Issue (Month): 3 (June)
Pages: 313-316

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Handle: RePEc:eee:ecolet:v:83:y:2004:i:3:p:313-316

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  1. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  2. n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 164, National Institute of Economic and Social Research.
  3. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshahb & Evan Laub, 2004. "Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 7-18, November.
  4. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  5. Ashok Parikh & Geoffrey Williams, 1998. "Modelling real exchange rate behaviour: a cross-country study," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 577-587.
  6. Sarno, Lucio, 2000. "Real exchange rate behavior in the Middle East: a re-examination," Economics Letters, Elsevier, vol. 66(2), pages 127-136, February.
  7. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
  8. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
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