 The pre- and post-crisis real exchange rate behavior in selected East Asian countriesMPRA Paper from University Library of Munich, Germany Abstract: This article examines the real exchange rate behavior during the pre-crisis and post-crisis periods in selected East Asian countries by verifying its long-run stability through unit root tests, and investigates the interaction among the component variables of the real exchange rate, i.e. the exchange rate and the relative prices, by means of a vector autoregressive (VAR) model. The main findings of the study are as follows. First, the results of the unit root tests indicate the non-stationarity of the real exchange rate of each sample country during the pre-crisis period. Second, the test results show the stationarity of the real exchange rates in all the sample countries during the combined crisis and post-crisis period, although, during the post-crisis period alone, they do not always do so. Third, the results of the VAR model analyses reveal that most of the cases during the combined crisis and post-crisis period, covering all sample countries, support the Granger causality from the relative prices to the exchange rate and describe a significant, continuous effect of the relative prices on the exchange rate. Keywords: exchange rate; East Asian countries; financial crisis (search for similar items in EconPapers) Published in Studies in Regional Science 1.40(2010): pp. 27-40 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:63789 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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