This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Changing Dynamics of the East Asian Real Exchange Rates after the Financial Crisis: Further Evidence on Mean Reversion Author info | Abstract | Publisher info | Download info | Related research | Statistics Baharumshah, Ahmad Zubaidi
Chan, Tze-Haw
Aggarwal, Raj
Additional information is available for the following
registered author(s):
Using an improved statistical methodology including tests designed for heterogeneous panels, this paper tests for mean reversion in monthly US Dollar based real exchange rates for nine East Asian countries, including those that were severely affected by the 1997 Asian financial crises. The empirical results reveals mean reversion in real Asian exchange rates is a feature of the post-crises sub-period (1997-2005) but not of the pre-crises sub-period (1981-1996). Additionally, we make a point that a faster speed of convergence to PPP and lower adjustment half-lives for real exchange rates compared to those reported for major industrialized country currencies and especially so for the post-crises period in Asia.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
6090.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: May 2006Date of revision:
22 Nov 2007Handle: RePEc:pra:mprapa:6090Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Ekkehart Schlicht).
Keywords: Purchasing power parity Panel unit root tests Asian financial crisis Other versions of this item:
Find related papers by JEL classification: F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: O'Connell, Paul G. J., 1998.
"The overvaluation of purchasing power parity ,"
Journal of International Economics ,
Elsevier, vol. 44(1), pages 1-19, February.
[Downloadable!] (restricted)
Cheung, Yin-Wong & Lai, Kon S., 2000.
"On the purchasing power parity puzzle ,"
Journal of International Economics ,
Elsevier, vol. 52(2), pages 321-330, December.
[Downloadable!] (restricted)
Holmes, Mark J., 2001.
"New Evidence on Real Exchange Rate Stationarity and Purchasing Power Parity in Less Developed Countries ,"
Journal of Macroeconomics ,
Elsevier, vol. 23(4), pages 601-614, October.
[Downloadable!] (restricted)
Salah Nusair, 2004.
"Testing for PPP in developing countries using confirmatory analysis and different base countries: an application to Asian countries ,"
International Economic Journal ,
Korean International Economic Association, vol. 18(4), pages 467-489, December.
[Downloadable!] (restricted)
Fujii, Eiji, 2002.
"Exchange Rate and Price Adjustments in the Aftermath of the Asian Crisis ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 7(1), pages 1-14, January.
[Downloadable!] (restricted)
Lucio Sarno & Ibrahim Chowdhury, 2003.
"The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index ,"
Economic Notes ,
Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 295-333, November.
[Downloadable!] (restricted)
Kalyoncu, Huseyin & Kalyoncu, Kahraman, 2008.
"Purchasing power parity in OECD countries: Evidence from panel unit root ,"
Economic Modelling ,
Elsevier, vol. 25(3), pages 440-445, May.
[Downloadable!] (restricted)
Zivot, Eric & Andrews, Donald W K, 1992.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 10(3), pages 251-70, July.
Other versions:
Eric Zivot & Donald W.K. Andrews, 1990.
"Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis ,"
Cowles Foundation Discussion Papers
944, Cowles Foundation, Yale University.
[Downloadable!] Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 25-44, January.
Baharumshah, Ahmad Zubaidi & Lau, Evan & Fountas, Stilianos, 2003.
"On the sustainability of current account deficits: evidence from four ASEAN countries ,"
Journal of Asian Economics ,
Elsevier, vol. 14(3), pages 465-487, June.
[Downloadable!] (restricted)
Choi, In, 2001.
"Unit root tests for panel data ,"
Journal of International Money and Finance ,
Elsevier, vol. 20(2), pages 249-272, April.
[Downloadable!] (restricted)
Bahmani-Oskooee, Mohsen, 1993.
"Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs' experience with its absolute formulation ,"
World Development ,
Elsevier, vol. 21(6), pages 1023-1031, June.
[Downloadable!] (restricted)
Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties ,"
Journal of Econometrics ,
Elsevier, vol. 108(1), pages 1-24, May.
[Downloadable!] (restricted)
Other versions: Mototsugu Shintani, 2002.
"A Nonparametric Measure of Convergence Toward Purchasing Power Parity ,"
Working Papers
0219, Department of Economics, Vanderbilt University, revised Jul 2004.
[Downloadable!]
Other versions: Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"A panel project on purchasing power parity: Mean reversion within and between countries ,"
Journal of International Economics ,
Elsevier, vol. 40(1-2), pages 209-224, February.
[Downloadable!] (restricted)
Other versions:
Jeffrey A. Frankel & Andrew K. Rose, 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
NBER Working Papers
5006, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Jeffrey A. Frankel and Andrew K. Rose., 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
Center for International and Development Economics Research (CIDER) Working Papers
C95-052, University of California at Berkeley.
Frankel, Jeffrey A & Rose, Andrew K, 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
CEPR Discussion Papers
1128, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Maddala, G S & Wu, Shaowen, 1999.
" A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
[Downloadable!] (restricted)
L. Achy, 2003.
"Parity reversion persistence in real exchange rates: middle income country case ,"
Applied Economics ,
Taylor and Francis Journals, vol. 35(5), pages 541-553, March.
[Downloadable!] (restricted)
Chow, Hwee Kwan & Kim, Yoonbai & Sun, Wei, 2007.
"Characterizing exchange rate policy in East Asia: A reconsideration ,"
Journal of Asian Economics ,
Elsevier, vol. 18(3), pages 448-465, June.
[Downloadable!] (restricted)
Azali, M. & Habibullah, M. S. & Baharumshah, A. Z., 2001.
"Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration ,"
Japan and the World Economy ,
Elsevier, vol. 13(1), pages 35-50, January.
[Downloadable!] (restricted)
Alba, Joseph D. & Papell, David H., 2007.
"Purchasing power parity and country characteristics: Evidence from panel data tests ,"
Journal of Development Economics ,
Elsevier, vol. 83(1), pages 240-251, May.
[Downloadable!] (restricted)
Papell, David H., 1997.
"Searching for stationarity: Purchasing power parity under the current float ,"
Journal of International Economics ,
Elsevier, vol. 43(3-4), pages 313-332, November.
[Downloadable!] (restricted)
Liu, Peter C & Burkett, Paul, 1995.
"Instability in Short-Run Adjustments to Purchasing Power Parity: Results for Selected Latin American Countries ,"
Applied Economics ,
Taylor and Francis Journals, vol. 27(10), pages 973-83, October.
Full
references
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by encouraging others to register as authors .
This page was last updated on 2008-11-17.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .