Citation
Liew, Venus Khim Sen and Baharumshah, Ahmad Zubaidi and Chong, Terence Tai Leung
(2004)
Are Asian real exchange rates stationary?
Economics Letters, 83 (3).
pp. 313-316.
ISSN 0165-1765; ESSN: 1873-7374
Abstract
By applying the newly developed nonlinear stationary test advanced by Kapetanios et al. [Journal of Econometrics 112 (2003) 359] 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 (ADF) test has led to no rejection at all.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Economics and Management |
| DOI Number: | https://doi.org/10.1016/j.econlet.2003.10.021 |
| Publisher: | Elsevier |
| Keywords: | Real exchange rates; Asia; Mean reversion; Nonlinear stationary test; ADF test |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 15 Sep 2015 08:34 |
| Last Modified: | 15 Sep 2015 08:34 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1016/j.econlet.2003.10.021 |
| URI: | http://psasir.upm.edu.my/id/eprint/40288 |
| Statistic Details: | View Download Statistic |
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