Saturday, 27 March 2010: 12:35
This study investigates the stationarity of ten Asian real exchange rates against the US dollar for 1984Q1–2007Q4. It applies the unit root test for dependent panels that allows for a structural break occurring at various unknown time periods across countries in order to explicitly study the different impacts of the Asian financial crisis in 1997–98 on their respective currencies. Next, controlling the multiplicity problem while testing the multiple hypotheses simultaneously, this study employs Romano and Wolf’s (2005) stepwise multiple testing method to indentify the stationary exchange rates from the ten. The results show that the stationarity hypothesis of the real exchange rate is significantly supported for some Asian countries.