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Are Asian Real Exchange Rates Stationary?

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Author Info

  • Venus Khim-sen Liew

    (Universiti Putra Malaysia)

  • Ahmad Zubaidi Baharumshah

    (Universiti Putra Malaysia)

  • Terence Tai-leung Chong

    (The Chinese University of Hong Kong)

Abstract

By 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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File URL: http://128.118.178.162/eps/if/papers/0307/0307002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0307002.

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Date of creation: 23 Jul 2003
Date of revision: 01 Nov 2004
Handle: RePEc:wpa:wuwpif:0307002

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Web page: http://128.118.178.162

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Keywords: Real exchange rates; Asia; mean reversion; nonlinear stationary test; ADF test.;

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References

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  1. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
  2. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  3. Sarno, Lucio & Taylor, Mark P, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
  4. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  5. n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 164, National Institute of Economic and Social Research.
  6. Ashok Parikh & Geoffrey Williams, 1998. "Modelling real exchange rate behaviour: a cross-country study," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 577-587.
  7. Sarno, Lucio, 2000. "Real exchange rate behavior in the Middle East: a re-examination," Economics Letters, Elsevier, vol. 66(2), pages 127-136, February.
  8. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshahb & Evan Laub, 2004. "Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 7-18, November.
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