Are Asian real exchange rates stationary?
AbstractBy 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 83 (2004)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- F31 - International Economics - - International Finance - - - Foreign Exchange
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