Abstract
This study examines the stationary of ten Asian and for emerging Foreign Exchange (FX) rates during the 1990s. The paper employs the Augmented Dickey-Fuller (ADF) unit root test to the following FX rates: Hong Kong Dollar (HKD) Japanese Yen (JPY), South Korean won (KRW) new Taiwan dollar (TWN), Chinese Renminbl (CHR), Indonesia Rupiah (IDR), Malaysian Ringgit (MYR), Singapore Dollar (SGD), Thai Bhat (THB), Philippines Peso (PHP), Argentine Peso (AGP), the Brazilian Real (BRR), Mexican Peso (MXP) and Russian Rouble (RUR). Structural break is taken into account for series found to be non-stationary using the[1] test. The results show that exchange rate series were found to be non-stationary except for the Chinese Renminbi, Mexican and Argentina pesos. Furthermore, the robustness test indicates that the ADF test is robust across different data frequencies for most series we examined finally; we find the choice of structural break data is crucial in testing that stationary for most series examined.
Highlights
The most commonly used formal tests of stationarity are the Augmented DickeyIt has been well-documented that non-statinarity Fuller (ADF) unit root test
Using multiple unit root tests such as the dickey and pantula test, solo Lagrange Multiplier (LM) unit root test, This study examines the stationary of ten Asian dickey-fuller tests and Phillips-Perron tests, the and for emerging Foreign Exchange (FX) rates during the 1990s
In order for the exchange rate series not to be integrated by more than 1, the Augmented Dickey-Fuller (ADF) unit root test using first difference exchange rate series will be estimated based on the following model: due to structural change in their deterministic trend function
Summary
In order for the exchange rate series not to be integrated by more than 1, the ADF unit root test using first difference exchange rate series will be estimated based on the following model: due to structural change in their deterministic trend function. The. In equations 1 and 2 y, represents the natural crashes induced at one-time fall in the mean logarithm of foreign exchange rates against US dollar, otherwise macroeconomic variables appear to be α0 is the intercept term, γ is the coefficient of interest in the unit root test, β, is the parameter of the lagged first trending stationary. Model specification: This study employs the “crash” model described in[1] to test for unit root with structural break on the foreign exchange rate series in the 1994 Mexican, 1997 Asian, 1998 Russian and 1999 Brazilian, financial crises. There To 1 July 1997 is no structural break for the Japanese yen and Chinese 1997 Asian crisis: Renminbi for the full sample data set
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