Economics at your fingertips  

Are Southeast Asian Real Exchange Rates Mean Reverting?

Frédérique Bec and Songlin Zeng ()

Working Papers from HAL

Abstract: Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponantial Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results i) support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in most of the ASEAN-5 countries and ii) point to the Multiple Regime-Logistic Smooth Transition and the Exponantial Smooth Transition AutoRegression models as the most likely data generating processes of these real exchange rates.

Keywords: Purchasing Power Parity; Nonlinear ThresholdModels; Southeast Asian Real Exchange Rates (search for similar items in EconPapers)
Date: 2012-02-07
New Economics Papers: this item is included in nep-cba and nep-sea
Note: View the original document on HAL open archive server:
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in 2012

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Are Southeast Asian real exchange rates mean reverting? (2013) Downloads
Working Paper: Are Southeast Asian Real Exchange Rates Mean Reverting? (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:

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2020-02-06
Handle: RePEc:hal:wpaper:hal-00685812