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...

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative price using the latest econometric methodologies that accounts for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)- type...

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative price using the latest econometric methodologies that accounts for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)- type...

This paper examines the twin deficits hypothesis in Indonesia, Malaysia, the Philippines and Thailand (ASEAN-4 countries). The major findings of this paper are: (1) Long run relationships are detected between budget and current account deficits. (2) We found that the Keynesian reasoning fits...

In the aftermath of the 1997 Asian financial crisis, fiscal policy is playing a bigger role in smoothing the business cycle and getting the crisis-affected countries back on their growth paths. The main purpose of this paper is to assess empirically the fiscal policy regimes in five Asian...

Maintaining sustainable fiscal policy has been increasingly important in the scope of economists and the policy makers as the key requirement of macroeconomic stability and sustainability of an economy. Without exception, the issue of fiscal sustainability also being in the spotlight for the...

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative price using the latest econometric methodologies that accounts for non-linearity. Among others, this study finds Exponential Smooth Transition Autoregressive (ESTAR)- type...

In an attempt to determine the predictability of ASEAN exchange rates, five currencies including Malaysian ringgit, Thailand baht, Singapore dollar, Indonesian rupiah and the Philippines peso, denominated in US dollar as well as Japanese yen, were modeled using advanced time series analysis....

This study proposes an alternative procedure for modelling exchange rates behaviour, which is a linear combination of a long-run function and a short-run function. Our procedure involves modelling of the long- run relationship and this is followed by the short-run function. Among all the...

This study compares the forecasting performance between Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model using the simple random walk (SRW) model as the standard reference model. To accomplish this objective, quarterly...