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Stationarity of Asian-Pacific real exchange rates

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Author Info
Su Zhou (University of Texas at San Antonio)
Abstract

This paper examines the stationary of Asian-Pacific real exchange rates(RERs) using nonlinear unit root test. The results reject the null hypothesis of nonstationarity in favor of the alternative of nonlinear stationarity for most of US, Australian, or Singapore dollar based RERs, but fail to do so for the majority of Japanese yen based RERs. There is more evidence for level stationarity in the Singapore doller based rates than in other currency based rates. MAny US dollar based Asian-Pacific RERs appear to be trend stationary.

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File URL: http://www.business.utsa.edu/wps/eco/0012ECO-106-2007.pdf
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Paper provided by College of Business, University of Texas at San Antonio in its series Working Papers with number 0012.

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Length: 12 pages
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Handle: RePEc:tsa:wpaper:0012

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Keywords: Asian-Pacific RERs appear to be trend stationary;

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F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  9. Joseph D. Alba & Donghyun Park, 2005. "Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 12(11), pages 701-704, September. [Downloadable!] (restricted)
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