American Journal of Applied Sciences

Revisiting the Unit Root Hypothesis and Structural Break: Asia and Emerging Economies Foreign Exchange Markets

Christopher Gan, Sirimon Treepongkaruna and Hue H.A. Yong

DOI : 10.3844/ajassp.2004.36.50

American Journal of Applied Sciences

Volume 1, Issue 1

Pages 36-50


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.


© 2004 Christopher Gan, Sirimon Treepongkaruna and Hue H.A. Yong. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.