Crisis and Volatility in Asian Versus Latin American Real Exchange Rates
Examining quarterly real exchange rates (RER) from 1976 to 2006 in panels of Asian and Latin American countries, shows that crisis-battered Asian currencies incur a higher speed of adjustment towards purchasing power parity (PPP). The degree of mean reversion of the three most volatile Asian currencies is very fast (about 1.8 quarters) during the floating regime compared to 40 quarters in the pre-crisis period. Panel cointegration tests confirm that the rejection of the null of no-cointegration between exchange rates and relative prices is more prevalent for Asian currencies (than for Latin American currencies) in the post-crisis period (than in the pre-crisis period).
Volume (Year): (2009)
Issue (Month): 117 ()
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