Using nonlinear unit root tests developed by Kapetanios et al. (2003), we find strong evidence that the Consumer Price Index (CPI) and Wholesale Price Index (WPI) based Malaysian Ringgit – U.S. Dollar (MYR/USD) real exchange rates are nonlinear stationary, implying that MYR/USD nominal...

Using nonlinear unit root tests developed by Kapetanios et al. (2003), we find strong evidence that the Consumer Price Index (CPI) and Wholesale Price Index (WPI) based Malaysian Ringgit – U.S. Dollar (MYR/USD) real exchange rates are nonlinear stationary, implying that MYR/USD nominal...

This paper untangles the causes behind real exchange rate devaluation events with particular attention paid to the Sudden Stop of capital flows. By utilizing cumulative impulse response function and variance decomposition analysis, we argue that there is the asymmetric response across Sudden...

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 presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The empirical analysis builds on synthetic quarterly data from 1975 to 1998, and derives a Behavioural Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER)....

The paper proposes a unified framework to study the dynamics of net foreign assets and exchange rate movements. We show that deteriorations in a country's net exports or net foreign asset position have to be matched either by future net export growth (trade adjustment channel) or by future...

Although most CIS and East Asian countries are de jure classified as free floaters, they de facto pursue (tight) dollar pegs. This paper emphasizes dollar denomination of short-term and long-term payment flows as reasons for exchange rate stabilization. Based on the analysis of ifcompetitive...

Since the start of the 1990s, several countries have abandoned fixed- but-adjustable exchange rate regimes. The tendency towards floating exchange rate regimes, or alternatively monetary unions, has given rise to a debate on the disappearance of pure currency crises, and the literature has...

This paper attempts to carry out a study of relative importance of anticipated and unanticipated external crises for the dynamics of economic growth. The estimations are carried out within a two equation system capturing the possibility of a common shock to external crises and growth. The effect...

This paper compares alternative estimates of systemic time-varying excess returns for the Irish pound and the Spanish peseta, against the German mark, since 1985. We make use of progressively more complex models, going from the GARCH in Mean specification, to the International Capital Asset...