Are Southeast Asian real exchange rates mean reverting?

► We test for Purchasing Power Parity from the ASEAN-5 currencies. ► We use unit root tests against flexible nonlinear stationary alternatives. ► We select the best nonlinear model from simulated generalized impulse response functions. ► Evidence of Purchasing Power Parity is found in all ASEAN-5 cases. ► Smooth transition nonlinear models are preferred.