Nonlinear Adjustment of ASEAN-5 Real Exchange Rates: Symmetrical or Asymmetrical?
This study examines whether the nonlinear adjustment dynamic of exchange rate to the equilibrium level as documented in Liew et al. (2003, 2004) is symmetrical or asymmetrical. Following the sequential tests as proposed in Teräsvirta and Anderson (1993), this study is able to identify that the US dollar based real exchange rates of Indonesia, Philippines, Singapore and Thailand exhibit LSTAR-type nonlinearity, implying that the real exchange rates of these countries have asymmetrical responds towards appreciation and depreciation. This finding provides useful guidelines in the monitoring and stabilising of ASEAN exchange rates, in order to boost the economy of this region, which has experienced different extends of negative shocks in the past few years.
Volume (Year): 6 (2004)
Issue (Month): 8 ()
|Contact details of provider:|| |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dumas, Bernard, 1992. "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 153-80.
- Sarno, Lucio, 2000. "Real exchange rate behavior in the Middle East: a re-examination," Economics Letters, Elsevier, vol. 66(2), pages 127-136, February.
- Venus Khim-sen Liew & Ahmad Zubaidi Baharumshah & Terence Tai-leung Chong, 2003.
"Are Asian Real Exchange Rates Stationary?,"
0307002, EconWPA, revised 01 Nov 2004.
- 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.
- Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 2001. "Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 379-399, June.
- Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
- 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.
- Bahmani-Oskooee, Mohsen, 1993. "Purchasing power parity based on effective exchange rate and cointegration: 25 LDCs' experience with its absolute formulation," World Development, Elsevier, vol. 21(6), pages 1023-1031, June.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-04f30005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If references are entirely missing, you can add them using this form.