Stationarity of Asian-Pacific real exchange rates

Su Zhou
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Su Zhou: University of Texas at San Antonio

No 12, Working Papers from College of Business, University of Texas at San Antonio

Abstract: This paper examines the stationary of Asian-Pacific real exchange rates(RERs) using nonlinear unit root test. The results reject the null hypothesis of nonstationarity in favor of the alternative of nonlinear stationarity for most of US, Australian, or Singapore dollar based RERs, but fail to do so for the majority of Japanese yen based RERs. There is more evidence for level stationarity in the Singapore doller based rates than in other currency based rates. MAny US dollar based Asian-Pacific RERs appear to be trend stationary.

Keywords: Asian-Pacific; RERs; appear; to; be; trend; stationary (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2007-04-18
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