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. Munich Personal RePEc Archive. ISSN 2285-6803


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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: Article
Uncontrolled Keywords: Purchasing power parity; Real exchange rate; ASEAN; Nonlinear unit root test; STAR model, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, Postgraduate, research
Subjects: 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: 28 Nov 2017 02:24

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