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Are Asian real exchange rates stationary?


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


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
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