Are Asian-Pacific real exchange rates (trend) stationary?
We apply the Range Unit-Root (RUR) test, a new nonparametric test advanced by Aparicio et al. ( 2006 ), to the exploration of stationarity for 19 Asian-Pacific currencies. The RUR test is exceptionally well suited to this analysis because it is robust against multiple structural breaks, parameter sh...
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| Veröffentlicht in: | Applied economics letters 2011-11, Vol.18 (16), p.1531-1535 |
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| container_title | Applied economics letters |
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| creator | Kim, Benjamin J. C. Perumal, Andrew |
| description | We apply the Range Unit-Root (RUR) test, a new nonparametric test advanced by Aparicio et al. (
2006
), to the exploration of stationarity for 19 Asian-Pacific currencies. The RUR test is exceptionally well suited to this analysis because it is robust against multiple structural breaks, parameter shifts and certain additive outliers, does not depend on the variance of any stationary alternative and thereby outperforms standard tests in terms of power on near-unit-root stationary time series. We find strikingly favourable results for trend-stationarity for most of the 19 Asian-Pacific currencies studied. Our results indicate that the long-run equilibrium Real Exchange Rate (RER) varies with changes in some real economic factors, hinting at some type of Balassa-Samuelson effects, which is particularly plausible for export-led, fast-growing economies such as many of the Asian-Pacific countries included in this study. |
| doi_str_mv | 10.1080/13504851.2010.548772 |
| format | Article |
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2006
), to the exploration of stationarity for 19 Asian-Pacific currencies. The RUR test is exceptionally well suited to this analysis because it is robust against multiple structural breaks, parameter shifts and certain additive outliers, does not depend on the variance of any stationary alternative and thereby outperforms standard tests in terms of power on near-unit-root stationary time series. We find strikingly favourable results for trend-stationarity for most of the 19 Asian-Pacific currencies studied. Our results indicate that the long-run equilibrium Real Exchange Rate (RER) varies with changes in some real economic factors, hinting at some type of Balassa-Samuelson effects, which is particularly plausible for export-led, fast-growing economies such as many of the Asian-Pacific countries included in this study.</description><identifier>ISSN: 1350-4851</identifier><identifier>EISSN: 1466-4291</identifier><identifier>DOI: 10.1080/13504851.2010.548772</identifier><language>eng</language><publisher>London: Taylor & Francis</publisher><subject>Asia Pacific Region ; Currencies ; Economic analysis ; Exchange rates ; FB-RUR ; Foreign exchange rates ; real exchange rates ; Regional analysis ; RUR ; Stationarity ; Studies ; Test methods ; Time series ; trend-stationarity ; Unit root</subject><ispartof>Applied economics letters, 2011-11, Vol.18 (16), p.1531-1535</ispartof><rights>Copyright Taylor & Francis Group, LLC 2011</rights><rights>Copyright Taylor & Francis Group 2011</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c448t-e0d1c63cf36f9f10ebd7de9c906e9631685ece4ce008da827f009f74958a93923</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,3994,27901,27902</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/tafapeclt/v_3a18_3ay_3a2011_3ai_3a16_3ap_3a1531-1535.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Kim, Benjamin J. C.</creatorcontrib><creatorcontrib>Perumal, Andrew</creatorcontrib><title>Are Asian-Pacific real exchange rates (trend) stationary?</title><title>Applied economics letters</title><description>We apply the Range Unit-Root (RUR) test, a new nonparametric test advanced by Aparicio et al. (
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2006
), to the exploration of stationarity for 19 Asian-Pacific currencies. The RUR test is exceptionally well suited to this analysis because it is robust against multiple structural breaks, parameter shifts and certain additive outliers, does not depend on the variance of any stationary alternative and thereby outperforms standard tests in terms of power on near-unit-root stationary time series. We find strikingly favourable results for trend-stationarity for most of the 19 Asian-Pacific currencies studied. Our results indicate that the long-run equilibrium Real Exchange Rate (RER) varies with changes in some real economic factors, hinting at some type of Balassa-Samuelson effects, which is particularly plausible for export-led, fast-growing economies such as many of the Asian-Pacific countries included in this study.</abstract><cop>London</cop><pub>Taylor & Francis</pub><doi>10.1080/13504851.2010.548772</doi><tpages>5</tpages></addata></record> |
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| ispartof | Applied economics letters, 2011-11, Vol.18 (16), p.1531-1535 |
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| language | eng |
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| source | RePEc; Business Source Complete |
| subjects | Asia Pacific Region Currencies Economic analysis Exchange rates FB-RUR Foreign exchange rates real exchange rates Regional analysis RUR Stationarity Studies Test methods Time series trend-stationarity Unit root |
| title | Are Asian-Pacific real exchange rates (trend) stationary? |
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