 Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural breakTakashi Matsuki and Kimiko Sugimoto Economic Modelling, 2013, vol. 34, issue C, 52-58 Abstract: This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against the US dollar during the pre-Lehman period. This paper explicitly investigates the presence of a structural break that occurred at unknown dates across countries and which may have been caused by the Asian financial crisis in 1997–1998. To identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the resampling-based multiple testing proposed by Romano and Wolf (2005) is employed while dealing with possible cross-sectional correlation among the countries and avoiding the over-rejection of the null hypothesis or the multiplicity problem. Moreover, the paper examines the small-sample property of the multiple testing when there is a structural break in cross-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is significantly supported in some Asian countries. Keywords: Purchasing Power Parity; East Asia; Stationarity; Panel unit root test; Multiple testing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:34:y:2013:i:c:p:52-58 DOI: 10.1016/j.econmod.2012.11.056 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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