EconPapers    
Economics at your fingertips  
 

Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates

Gilles de Truchis () and Benjamin Keddad ()

Journal of International Financial Markets, Institutions and Money, 2013, vol. 26, issue C, 394-412

Abstract: This paper examines generalized purchasing power parity theory (G-PPP) among the ASEAN-5 countries. Implementing both the rank analysis and the regression-based analysis of the cointegrating system's, we identify several weak fractional cointegration relationships. Accordingly, cointegrating errors of real exchange rates (RERs) are highly persistent but mean-reverting. Our findings contrast with all previous studies that restrict their investigations to the traditional I(1)/I(0) cointegration. Since RERs are tied through a long memory process, empirical models of G-PPP theory that ignore such a feature should be misspecified. Finally, our results support further monetary integration among different sub-groups of the ASEAN-5 countries as they share long-run comovements.

Keywords: Monetary union; Fractional cointegration; Generalized purchasing power parity; ASEAN (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443113000498
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates (2013)
Working Paper: South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates (2012) Downloads
Working Paper: South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates (2012) Downloads
Working Paper: South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:26:y:2013:i:c:p:394-412

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-11-16
Handle: RePEc:eee:intfin:v:26:y:2013:i:c:p:394-412