Non-parametric cointegration analysis of ASEAN-5 real exchange rates

• Main Authors: Lim, Kian Ping, Lee, Hock Ann
• Format: Article
• Language: English
• Published: 2004
• Subjects: JQ Political institutions and public administration (Asia, Africa, Australia, Pacific Area, etc.)
• Online Access: https://eprints.ums.edu.my/id/eprint/19702/1/Non%20Parametric.pdf; https://eprints.ums.edu.my/id/eprint/19702/
• Institution: Universiti Malaysia Sabah

This study employs the Bierens's (1997) non-parametric cointegration methodology to test the Purchasing Power Parity (PPP) hypothesis forfiz~e major ASEAN economies - Indonesia, Malaysia, the Philippines, Singapore and Thailand, with the U.S. and Japan data as base countries. The results provid...