Linearity and Stationarity of South Asian Real Exchange Rates
Abstract: In this paper, the linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test procedures. Results obtained show that these real exchange rates are stationary despite the presence of nonlinearity. This finding suggests that, it is possible to monitor and forecast the behavior of these nominal exchange rates, as well as to determine their equilibrium values using the corresponding relative prices.
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Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Applied Economics.
Volume (Year): VII (2008)
Issue (Month): 5 (September)
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Other versions of this item:
- Liew, Venus Khim-Sen & Lee, Hock-Ann & Lim, Kian-Ping & Lee, Huay-Huay, 2006. "Linearity and stationarity of South Asian real exchange rates," MPRA Paper 517, University Library of Munich, Germany.
- N15 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Asia including Middle East
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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