Title: Analysis of the Stationarity of East Asian Currencies Using Unit Root Test and Cointegration Test
Abstract: This paper investigates the stationarity of East Asian currencies by using a unit root test and cointegration test. We examine whether the Asian monetary unit (AMU) deviation indicators adjusted by the Balassa-Samuelson effect are stationary over the short term by carrying out a unit root test and assess whether cointegration relationships exist over the long term by carrying out a cointegration test. Based on an empirical analysis of 502 combinations, we find that only one combination (the Japanese yen and the Singapore dollar) shows a significant result. Based on our results, it is clear that exchange rate fluctuations among East Asian currencies respond to each other asymmetrically and that the issue of exchange rate misalignment needs to be dealt with immediately.
Publication Year: 2013
Publication Date: 2013-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 2
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