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Stationarity of Asian-Pacific real exchange rates

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  • 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.

Suggested Citation

  • Su Zhou, 2007. "Stationarity of Asian-Pacific real exchange rates," Working Papers 0012, College of Business, University of Texas at San Antonio.
    • Handle: RePEc:tsa:wpaper:0039eco
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    File URL: http://interim.business.utsa.edu/wps/eco/0012ECO-106-2007.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Asian-Pacific RERs appear to be trend stationary;

    JEL classification:

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

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