Are Asian real exchange rates stationary?
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AbstractBy 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. (C) 2004 Elsevier B.V. All rights reserved.
All Author(s) ListLiew VKS, Baharumshah AZ, Chong TTL
Journal nameEconomics Letters
Detailed descriptionTo ORKTS: there are two coauthors,
I don't know how to edit them into the system. they are
Venus Liew and A.Z. Baharumshah
Year2004
Month6
Day1
Volume Number83
Issue Number3
PublisherELSEVIER SCIENCE SA
Pages313 - 316
ISSN0165-1765
eISSN1873-7374
LanguagesEnglish-United Kingdom
KeywordsADF test; Asia; mean reversion; nonlinear stationary test; real exchange rates
Web of Science Subject CategoriesBusiness & Economics; Economics; ECONOMICS

Last updated on 2020-13-09 at 00:46