Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5
AbstractUtilizing formal nonlinear unit root test (Sarno, The behavior of US public debt: a nonlinear perspective. Economics Letters 2001: 119 – 125), this study provides robust evidence of nonlinear mean reversion in the real exchange rates of 4 major ASEAN countries. We conclude that the bulk of the evidence based on conventional unit root tests may be biased against long run Purchasing Power Parity (PPP)
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Bibliographic InfoPaper provided by EconWPA in its series International Trade with number 0308001.
Date of creation: 03 Aug 2003
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Purchasing power parity; Real exchange rate; ASEAN; Nonlinear unit root test; STAR model.;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
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