کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084025 | 1477826 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetry dynamics in real exchange rates: New results on East Asian currencies
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper provides new evidence on the purchasing power parity (PPP) hypothesis in six East Asian countries. Based on nonlinear unit root tests, we discovered that the results are broadly consistent with the fact that real exchange rates (RERs) follow a nonlinear mean reversion process. We presented new evidence that the adjustment towards the PPP parity is asymmetric (LSTAR process) above and below the equilibrium value in all but one case - the Malaysian ringgit (MYR). The empirical results suggest that it is important that the conventional tests of PPP be amended to take account of asymmetries in the adjustment process in RERs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 19, Issue 4, October 2010, Pages 648-661
Journal: International Review of Economics & Finance - Volume 19, Issue 4, October 2010, Pages 648-661
نویسندگان
Ahmad Zubaidi Baharumshah, Venus Khim-Sen Liew, Ibrahim Chowdhury,