Nonlinear Mean Reversion In Real Exchange Rates: Evidence From The ASEAN-5§

Ahmad Zubaidi, Baharumshah and Liew, Khim Sen and Lau, Evan (2003) Nonlinear Mean Reversion In Real Exchange Rates: Evidence From The ASEAN-5§. Working Paper. Universiti Malaysia Sarawak, (UNIMAS).

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Abstract

Utilizing formal nonlinear unit root test (Sarno, The behavior of US public debt: a nonlinear perspective. Economics Letters 2001: 119 – 125), this study provides robust evidence of nonlinear mean reversion in the real exchange rates of 4 major ASEAN countries. We conclude that the bulk of the evidence based on conventional unit root tests may be biased against long run Purchasing Power Parity (PPP)

Item Type: Monograph (Working Paper)
Additional Information: Universiti Malaysia Sarawak, UNIMAS
Uncontrolled Keywords: UNIMAS, Purchasing power parity, Real exchange rate, ASEAN, Nonlinear unit root test, STAR model
Subjects: A General Works > AC Collections. Series. Collected works
A General Works > AC Collections. Series. Collected works

H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Karen Kornalius
Date Deposited: 16 Jun 2014 03:20
Last Modified: 12 Apr 2016 03:26
URI: http://ir.unimas.my/id/eprint/3226

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