Do China Mainland and SARs Constitute an Optimal Currency Area? Evidence from Nonlinearity and Stationarity Behavior Testing on Real Exchange Rates
Do China Mainland and SARs Constitute an Optimal Currency Area? Evidence from Nonlinearity and Stationarity Behavior Testing on Real Exchange Rates
ZHENG Xiaoya1*(郑晓亚), YOU Haibo2 (尤海波)
(1. Post-Doctoral Research Station, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. Post-Doctoral Workstation, Xiamen International Bank, Xiamen 361001, Fujian, China)
(1. Post-Doctoral Research Station, Shanghai University of Finance and Economics, Shanghai 200433, China;
2. Post-Doctoral Workstation, Xiamen International Bank, Xiamen 361001, Fujian, China)
ZHENG Xiaoya1*(郑晓亚), YOU Haibo2 (尤海波). Do China Mainland and SARs Constitute an Optimal Currency Area? Evidence from Nonlinearity and Stationarity Behavior Testing on Real Exchange Rates[J]. Journal of shanghai Jiaotong University (Science), 2016, 21(3): 328-334.
MUNDELL R A. A theory of optimum currency areas[J]. American Economic Review, 1961, 51(4): 657-665.
[2]
NARAYAN P K, NARAYAN S. Are real exchangerates nonlinear with a unit root? Evidence on PPPfor Italy: A note [J]. Applied Economics, 2007, 39(19):2483-2488.
[3]
TAYLORM P, PEEL D A, SARNO L. Nonlinear meanreversion in real exchange rates: Towards a solution tothe purchasing power parity puzzles [J]. InternationalEconomic Review, 2001, 42(4): 1015-1042.
[4]
CHORTAREAS G, KAPETANIOS G. The yen realexchange rate may be stationary after all: Evidencefrom nonlinear unit root tests [J]. Oxford Bulletin ofEconomics and Statistics, 2004, 66(1): 113-131.
[5]
CANER M, HANSEN B E. Threshold autoregressionwith a unit root [J]. Econometrica, 2001, 69(6): 1555-1596.
[6]
KILIAN L, TAYLOR M P. Why is it so difficult tobeat the random walk forecast of exchange rates? [J].Journal of International Economics, 2003, 60(1): 85-107.
[7]
SEKIOUA S H. Nonlinear adjustment in the forwardpremium: Evidence from a threshold unit root test [J].International Review of Economics and Finance, 2006,15(2): 164-183.