Asymmetry dynamics in real exchange rates: New results on East Asian currencies
his 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 presen...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier Inc.
2010
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| Online Access: | http://ir.unimas.my/id/eprint/18004/ http://ir.unimas.my/id/eprint/18004/1/Asymmetry%20dynamics%20in%20real%20exchange%20rates%20%28abstract%29.pdf |
| _version_ | 1848838414517927936 |
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| author | Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Chowdhury, Ibrahim |
| author_facet | Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Chowdhury, Ibrahim |
| author_sort | Ahmad Zubaidi, Baharumshah |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | his 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. |
| first_indexed | 2025-11-15T06:55:11Z |
| format | Article |
| id | unimas-18004 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:55:11Z |
| publishDate | 2010 |
| publisher | Elsevier Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-180042017-10-06T07:49:22Z http://ir.unimas.my/id/eprint/18004/ Asymmetry dynamics in real exchange rates: New results on East Asian currencies Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Chowdhury, Ibrahim H Social Sciences (General) his 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. Elsevier Inc. 2010 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18004/1/Asymmetry%20dynamics%20in%20real%20exchange%20rates%20%28abstract%29.pdf Ahmad Zubaidi, Baharumshah and Liew, Venus Khim-Sen and Chowdhury, Ibrahim (2010) Asymmetry dynamics in real exchange rates: New results on East Asian currencies. International Review of Economics and Finance, 19 (4). pp. 648-661. ISSN 1059-0560 http://www.sciencedirect.com/science/article/pii/S1059056010000250 doi : 10.1016/j.iref.2010.03.002 |
| spellingShingle | H Social Sciences (General) Ahmad Zubaidi, Baharumshah Liew, Venus Khim-Sen Chowdhury, Ibrahim Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title | Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title_full | Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title_fullStr | Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title_full_unstemmed | Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title_short | Asymmetry dynamics in real exchange rates: New results on East Asian currencies |
| title_sort | asymmetry dynamics in real exchange rates: new results on east asian currencies |
| topic | H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/18004/ http://ir.unimas.my/id/eprint/18004/ http://ir.unimas.my/id/eprint/18004/ http://ir.unimas.my/id/eprint/18004/1/Asymmetry%20dynamics%20in%20real%20exchange%20rates%20%28abstract%29.pdf |