This paper proposes a new procedure for testing the unit root null against stationary but nonlinear alternatives. This test can be viewed as a generalization of the one developed by Kapetanios et al. (2003) (the KSS test) by incorporating stationary covariates. The asymptotic distribution of the...

This paper investigates how a change in monetary policy affects the degree and the speed of exchange rate pass-through to import prices in the emerging market economy, using a newly constructed data set from Taiwan's trading commodities. First, the analytical framework is set up following...

Previous studies on the stationarity properties of the real exchange rates in developing countries in Asia have generally produced mixed results. The unit root behavior is puzzling because it contradicts the purchasing power parity (PPP) hypothesis. This study examines international data on 15...

This article employs Hansen's (1995) Covariate Augmented Dickey-Fuller (CADF) test to reexamine the issue of Purchasing Power Parity (PPP) using post-Bretton Woods exchange rate data for 20 industrialized countries. Instead of just using a single covariate as in the literature, we implement the...

Under the assumption of intertemporal balance, current foreign reserve holdings should equal the present value of the sum of future current account and financial account balances. To satisfy the intertemporal balance, a testable condition indicates that the change in foreign reserves needs to...

This article employs the covariate unit root test proposed by Elliott and Jansson to investigate the stationarity properties of real interest rates. Instead of blindly trusting the asymptotic distribution of the test, we extend Rudebusch's method to estimate its finite sample distributions under...