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Are Asian Real Exchange Rates Stationary?

Venus Liew (), Ahmad Zubaidi Baharumshah () and Terence Tai Leung Chong ()

International Finance from University Library of Munich, Germany

Abstract: 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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