Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

► We examine the stationarity of ten East Asian real exchange rates against the US dollar. ► The rigorous evidence of the stationarity is found in four out of ten real exchange rates. ► The multiple testing identifies which country holds the PPP in East Asian countries. ► The small-sample property of the test is investigated by using a Monte Carlo experiment.