Linearity and stationarity of South Asian real exchange rates

Liew, Venus Khim-Sen and Lee, Hock-Ann and Lim, Kian-Ping and Lee, Huay-Huay (2006): Linearity and stationarity of South Asian real exchange rates.

Abstract

The linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test procedures. Results obtained show that these real exchange rates are stationary albeit the presence of nonlinearity.

• Item Type: MPRA Paper
• Language: English
• Keywords: Nonlinearity; Real exchange rates; South Asia; linearity test; nonlinear stationary test
• Subjects: N - Economic History > N1 - Macroeconomics and Monetary Economics ; Industrial Structure ; Growth ; Fluctuations > N15 - Asia including Middle East; F - International Economics > F1 - Trade > F14 - Empirical Studies of Trade; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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