Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5

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)

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Year of publication:	2003-08-03
Authors:	Baharumshah, Ahmad Zubaidi ; Liew, Venus Khim-Sen ; Lau, Evan
Institutions:	EconWPA
Subject:	Purchasing power parity \| Real exchange rate \| ASEAN \| Nonlinear unit root test \| STAR model

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Extent:	application/pdf application/postscript application/msword
Series:	International Trade.
Type of publication:	Book / Working Paper
Notes:	Type of Document -
Classification:	F31 - Foreign Exchange ; F32 - Current Account Adjustment; Short-Term Capital Movements
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119239