Are Asian real exchange rates stationary?

Liew, Venus Khim-Sen and Ahmad Zubaidi, Baharumshah and Chong, Terence Tai-Leung (2004) Are Asian real exchange rates stationary? Economics Letters, 83. pp. 313-316. ISSN 0165-1765

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Official URL: https://doi.org/10.1016/j.econlet.2003.10.021

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. D 2004 Elsevier B.V. All rights reserved.

Item Type: Article
Uncontrolled Keywords: Real exchange rates, Asia, Mean reversion, Nonlinear stationary test, ADF test, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 21 Nov 2017 01:10
Last Modified: 21 Nov 2017 01:10
URI: http://ir.unimas.my/id/eprint/18639

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