Are Asian Real Exchange Rates Stationary?
Venus Liew (),
Ahmad Zubaidi Baharumshah () and
Terence Tai Leung Chong ()
International Finance from University Library of Munich, Germany
By applying the newly developed nonlinear stationary test advanced by Kapetanois et al. [Journal of Econometrics 112 (2003) 359 - 379] in examining the stationary property of 11 Asian real exchange rates, this paper rejects unit root in 8 US dollar based and 6 Japanese yen based rates, whereas the augmented Dickey-Fuller test has led to no rejection at all.
Keywords: Real exchange rates; Asia; mean reversion; nonlinear stationary test; ADF test. (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-ifn, nep-rmg and nep-sea
Date: 2003-07-23, Revised 2004-11-01
Note: Type of Document - Word
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Journal Article: Are Asian real exchange rates stationary? (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0307002
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