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Applied Economics Volume 35, 2003 - Issue 12
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Original Articles

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies

Venus Khim-Sen Liew Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia
,
Terence Tai-Leung Chong Department of Economics, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong
&
Kian-Ping Lim Labuan School of International Business and Finance, Universiti Malaysia Sabah, PO Box 80594, 87015 W.P. Labuan, Malaysia
Pages 1387-1392 | Published online: 05 Oct 2010

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David De Villiers & Andrew Phiri. (2022) Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s). The Journal of International Trade & Economic Development 31:2, pages 161-180.
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Tsangyao Chang, Yang-Cheng Lu, D. P. Tang & Wen-Chi Liu. (2011) Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries. Applied Economics 43:2, pages 231-242.
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Tsangyao Chang, YiChun Zhang & Wen-Chi Liu. (2010) Purchasing power parity for ASEAN-8 countries: panel SURKSS tests. Applied Economics Letters 17:15, pages 1517-1523.
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Venus Khim-Sen Liew, Ricky Chee-Jiun Chia & Tai-Hu Ling. (2010) Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries. Applied Economics Letters 17:11, pages 1073-1077.
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Venus Khim-Sen Liew & Yusuf Ahmad. (2009) Income convergence: fresh evidence from the Nordic countries. Applied Economics Letters 16:12, pages 1245-1248.
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Venus Khim-Sen Liew, Hock-Ann Lee & Kian-Ping Lim. (2009) Purchasing power parity in Asian economies: further evidence from rank tests for cointegration. Applied Economics Letters 16:1, pages 51-54.
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Mübariz Hasanov. (2009) A note on efficiency of Australian and New Zealand stock markets. Applied Economics 41:2, pages 269-273.
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Claudio A. Bonilla, Rafael Romero-Meza & Melvin J. Hinich. (2007) GARCH inadequacy for modelling exchange rates: empirical evidence from Latin America. Applied Economics 39:19, pages 2529-2533.
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Kian-Ping Lim & Venus Khim-Sen Liew. (2007) Nonlinear mean reversion in stock prices: evidence from Asian markets. Applied Financial Economics Letters 3:1, pages 25-29.
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Tsangyao Chang, Hsu-Ling Chang, Hsiao-Ping Chu & Chi-Wei Su. (2006) Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test. Applied Economics 38:20, pages 2453-2459.
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Claudio A. Bonilla, Rafael Romero-Meza & Melvin J. Hinich. (2006) Episodic nonlinearity in Latin American stock market indices. Applied Economics Letters 13:3, pages 195-199.
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Ken Johnston , David Carter & John Hatem. (2005) Exchange rates, and fundamental variables: a semi-parametric analysis of binary choice. Applied Economics 37:16, pages 1915-1924.
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Salah A. Nusair. (2011) Nonlinear adjustment of Asian real exchange rates. Economic Change and Restructuring 45:3, pages 221-246.
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Ian W. Marsh, Evgenia Passari & Lucio Sarno. 2012. Handbook of Exchange Rates. Handbook of Exchange Rates 189 220 .
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Claudio A. Bonilla, Rafael Romero-Meza & Carlos Maquieira. (2010) NONLINEARITIES AND GARCH INADEQUACY FOR MODELING STOCK MARKET RETURNS: EMPIRICAL EVIDENCE FROM LATIN AMERICA. Macroeconomic Dynamics 15:5, pages 713-724.
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Ai-Young Kim & Won Gil Cho. (2011) Empirical Investigation of Purchasing Power Parity for Korea : Further Evidence from Nonlinear Unit Root Test. The Journal of International Trade & Commerce 7:1, pages 49-66.
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Jeng-Bau Lin, Chin-Chia Liang & Ming-Liang Yeh. (2011) Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies. Japan and the World Economy 23:2, pages 79-85.
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Çiǧdem Börke Tunali & Veli Yilanci. (2010) Are per capita incomes of MENA countries converging or diverging?. Physica A: Statistical Mechanics and its Applications 389:21, pages 4855-4862.
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Ahmad Zubaidi Baharumshah, Venus Khim-Sen Liew & Ibrahim Chowdhury. (2010) Asymmetry dynamics in real exchange rates: New results on East Asian currencies. International Review of Economics & Finance 19:4, pages 648-661.
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Tsangyao Chang & Wen‐Chi Liu. (2008) Long‐run purchasing power parity with asymmetric adjustment: evidence from nine major oil‐exporting countries. International Journal of Finance & Economics 15:3, pages 263-274.
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Riza Emekter, Benjamas Jirasakuldech & Sean M. Snaith. (2009) Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry. Journal of Multinational Financial Management 19:3, pages 179-192.
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Venus Khim-sen Liew, Ahmad Zubaidi Baharumshah & Terence Tai-leung Chong. (2004) Are Asian real exchange rates stationary?. Economics Letters 83:3, pages 313-316.
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VENUS KHIM-SEN LIEW, AHMAD ZUBAIDI BAHARUMSHAH & KIAN-PING LIM. (2011) ON SINGAPORE DOLLAR–U.S. DOLLAR AND PURCHASING POWER PARITY. The Singapore Economic Review 49:01, pages 71-84.
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Adriana Grigorescu, Popescu (Spprchez) Nicoleta, Andrei Elena Cristina, Radu Lupu, Adrian CClin Cantemir, Carmen Albu & Andreea Bianca Ene. (2014) Holistica Journal of Business and Public Administration, No. 1/2014. SSRN Electronic Journal.
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Zhuo Qiao, Venus Khim-Sen Liew & Wing-Keung Wong. (2010) Linearity and Stationarity of G7 Government Bond Returns. SSRN Electronic Journal.
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