Mean reversion in bilateral real exchange rates: evidence from the Malaysian ringgit

C-Tier
Journal: Applied Economics
Year: 2012
Volume: 44
Issue: 22
Pages: 2921-2933

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This study examines behaviour of the Consumer Price Index (CPI)-based Real Exchange Rates (RERs) of the ringgit against the currencies of Malaysia's major trading partners. The empirical results, which are derived from newly developed tests advocated by Lee and Strazicich (LS, 2003) and Narayan and Popp (NP, 2010) that allow for two breaks in the series, provide conflicting results. We obtain weaker support for Purchasing Power Parity (PPP) using the Narayan and Popp (2010) test. By truncating the sampling period into two sub-periods, we find that PPP holds for majority of the Malaysia's bilateral exchange rate <italic>vis-&#xE0;-vis</italic> its major trading partners during the pre-crisis period. The 1997 currency crisis, however, has weakened the evidence in favour of PPP hypothesis in the strict sense.

Technical Details

RePEc Handle
repec:taf:applec:44:y:2012:i:22:p:2921-2933
Journal Field
General
Author Count
2
Added to Database
2026-01-24