Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates
Venus Liew (),
Ahmad Zubaidi Baharumshahb and
Authors registered in the RePEc Author Service: Evan Lau () and
Ahmad Zubaidi Baharumshah
The IUP Journal of Applied Economics, 2004, vol. III, issue 6, 7-18
The major finding of this study is that the long run purchasing power parity (PPP) deviations of the major ASEAN exchange rates exhibit nonlinear adjustment which may be characterised by the Smooth Transition Autoregressive (STAR) model. This finding warrants us that policy decision based on inappropriate linear studies may not be effectiveness. Besides, exchange rates with deviations with higher speed of adjustment are found to be more pruned to currency crisis.
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Persistent link: http://EconPapers.repec.org/RePEc:icf:icfjae:v:03:y:2004:i:6:p:7-18
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