Linearity and Stationarity of South Asian Real Exchange Rates

Venus Liew, Hock-Ann Lee (), Kian-Ping Lim and Huay-Huay Lee

The IUP Journal of Applied Economics, 2008, vol. VII, issue 5, 48-58

Abstract: : In this paper, the linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test procedures. Results obtained show that these real exchange rates are stationary despite the presence of nonlinearity. This finding suggests that, it is possible to monitor and forecast the behavior of these nominal exchange rates, as well as to determine their equilibrium values using the corresponding relative prices.

Date: 2008
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Working Paper: Linearity and stationarity of South Asian real exchange rates (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:07:y:2008:i:5:p:48-58

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