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East Asian Real Exchange Rates and PPP: New Evidence from panel-data tests

  • Baharumshah, Ahmad Zubaidi
  • Aggarwal, Raj
  • Chan, Tze-Haw

Abstract: This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This study documents the fact that unlike the pre-crises period, mean reversion in real Asian exchange rates is a feature of the post-crises period in all six countries considered in this study. It turns out that our finding based on an array of panel unit root tests appears to be invariant to the choice of the numeraire currency, namely the US and Japanese yen.

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File URL: http://mpra.ub.uni-muenchen.de/2023/1/MPRA_paper_2023.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2023.

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Date of creation: 2005
Date of revision: 2007
Handle: RePEc:pra:mprapa:2023
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