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Are real exchange rates non-stationary? The Pacific Basin perspective

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  • Wu, Jyh-Lin
  • Tsai, Li-Ju
  • Chen, Show-Lin

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  • Wu, Jyh-Lin & Tsai, Li-Ju & Chen, Show-Lin, 2004. "Are real exchange rates non-stationary? The Pacific Basin perspective," Journal of Asian Economics, Elsevier, vol. 15(2), pages 425-438, April.
  • Handle: RePEc:eee:asieco:v:15:y:2004:i:2:p:425-438
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    References listed on IDEAS

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    1. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.
    2. Cheung, Yin-Wong & Lai, Kon S., 1998. "Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 61-76, May.
    3. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    4. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
    5. Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February.
    6. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
    7. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, vol. 28(1-2), pages 115-136, February.
    8. Aggarwal, Raj & Montanes, Antonio & Ponz, Monserrat, 2000. "Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 351-361, December.
    9. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    10. Wu, Jyh-Lin & Chen, Show-Lin, 1999. "Are Real Exchange Rates Stationary Based on Panel Unit-Root Tests? Evidence from Pacific Basin Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(3), pages 243-252, July.
    11. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December.
    12. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    13. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    14. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    15. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
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    Cited by:

    1. Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
    2. Bec, Frédérique & Zeng, Songlin, 2013. "Are Southeast Asian real exchange rates mean reverting?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 265-282.
    3. Chia-Cheng Ho & Su-Yin Cheng & Han Hou, 2009. "Purchasing Power Parity and Country Characteristics: Evidence from Time Series Analysis," Economics Bulletin, AccessEcon, vol. 29(1), pages 444-456.
    4. Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
    5. Jiang, Chun & Jian, Na & Liu, Tie-Ying & Su, Chi-Wei, 2016. "Purchasing power parity and real exchange rate in Central Eastern European countries," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 349-358.
    6. Matsuki, Takashi & Sugimoto, Kimiko, 2013. "Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break," Economic Modelling, Elsevier, vol. 34(C), pages 52-58.
    7. Adiguzel, Ugur & Sahbaz, Ahmet & Ozcan, Ceyhun Can & Nazlioglu, Saban, 2014. "The behavior of Turkish exchange rates: A panel data perspective," Economic Modelling, Elsevier, vol. 42(C), pages 177-185.
    8. repec:eee:reveco:v:49:y:2017:i:c:p:211-222 is not listed on IDEAS
    9. Lean Hooi Hooi & Russell Smyth, 2007. "Are Asian real exchange rates mean reverting? Evidence from univariate and panel LM unit root tests with one and two structural breaks," Applied Economics, Taylor & Francis Journals, vol. 39(16), pages 2109-2120.
    10. Taguchi, Hiroyuki, 2010. "The pre- and post-crisis real exchange rate behavior in selected East Asian countries," MPRA Paper 63789, University Library of Munich, Germany.
    11. Joakim Westerlund & Johan Blomquist, 2013. "A modified LLC panel unit root test of the PPP hypothesis," Empirical Economics, Springer, vol. 44(2), pages 833-860, April.
    12. Kim, Bong-Han & Kim, Hong-Kee & Oh, Keun-Yeob, 2009. "The purchasing power parity of Southeast Asian currencies: A time-varying coefficient approach," Economic Modelling, Elsevier, vol. 26(1), pages 96-106, January.

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