Are Asian real exchange rates stationary?

被引：68

作者：

Liew, VKS

Baharumshah, AZ

Chong, TTL ^{[1
]}

机构：

[1] Univ Putra Malaysia, Fac Econ & Management, Dept Econ, Serdang 43400, Malaysia

[2] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China

来源：

ECONOMICS LETTERS | 2004年 / 83卷 / 03期

关键词：

real exchange rates; Asia; mean reversion; nonlinear stationary test; ADF test;

D O I：

10.1016/j.econlet.2003.10.021

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：313 / 316

页数：4

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