Asymmetry dynamics in real exchange rates: New results on East Asian currencies

Ahmad Zubaidi, Baharumshah and Liew, Venus Khim-Sen and Chowdhury, Ibrahim (2010) Asymmetry dynamics in real exchange rates: New results on East Asian currencies. International Review of Economics and Finance, 19 (4). pp. 648-661. ISSN 1059-0560

Asymmetry dynamics in real exchange rates (abstract).pdf

Download (117kB) | Preview
Official URL:


his paper provides new evidence on the purchasing power parity (PPP) hypothesis in six East Asian countries. Based on nonlinear unit root tests, we discovered that the results are broadly consistent with the fact that real exchange rates (RERs) follow a nonlinear mean reversion process. We presented new evidence that the adjustment towards the PPP parity is asymmetric (LSTAR process) above and below the equilibrium value in all but one case the Malaysian ringgit (MYR). The empirical results suggest that it is important that the conventional tests of PPP be amended to take account of asymmetries in the adjustment process in RERs.

Item Type: Article
Uncontrolled Keywords: Real exchange rate, STAR, Nonlinear, Mean reversion, East Asian, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 06 Oct 2017 07:49
Last Modified: 06 Oct 2017 07:49

Actions (For repository members only: login required)

View Item View Item