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  1. Home
  2. Browse by Author

Browsing by Author "Baharumshah, AZ"

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    Publication
    Currency Crises and Purchasing Power Parity in the Asian Countries: Evidence Based on Second-Generation Panel Unit-Root Tests
    (Persatuan Ekonomi Malaysia, 2017)
    Soon, SV
    ;
    Baharumshah, AZ
    ;
    Shariff, NSM
    ;
    Ibrahim, S
    This study applies a second-generation panel unit-root tests to determine the stochastic properties of real exchange rates for 14 Asian countries. Based on three popular alternative definitions of a currency crisis, we identify the several important currency crisis episodes in the region. The purchasing power parity (PPP) hypothesis was overwhelmingly supported after accommodating these heterogeneous noisy and unstable observations. Our panel unit-root test that controls for cross-sectional dependence and is robust to structural breaks confirms that the crisis in all the countries fits well with the second-generation models of currency crisis, that is, the root cause of the currency crises may not lie in economic fundamentals. PPP relation emerges when breaks and cross country dependency has been taken into account for these 14 countries.
      6
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    Publication
    Persistence Of Real Exchange Rates In The Central And Eastern European Countries
    (Vilnius Gediminas Tech Univ, 2016)
    Baharumshah, AZ
    ;
    Soon, SV
    ;
    Fountas, S
    ;
    Nurul Sima Mohamad Shariff 
    We investigate the mean reversion in real exchange rates for Central and Eastern European countries. We use point and confidence interval estimates from the Phillips et al.'s (2001) local-persistent model as our preferred measures of the persistence of real exchange rates. We find that the adjustment to purchasing power parity is more rapid after accounting for structural breaks, with half-life deviation from parity below 18 months, which is consistent with the explanation based on nominal rigidities. The estimated narrow confidence intervals for the half-lives invalidate the purchasing power parity puzzle for transition and some core European Union countries. The novelty of our results lies in the finding of strong evidence for purchasing power parity as the local-persistent model produces shorter half-lives and much narrower corresponding confidence intervals than those obtained by standard Dickey-Fuller and local-to-unity models. Our evidence for PPP suggests that the transition countries have maintained their long-run competitiveness against their trading partners.
      3  16
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    Publication
    The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?
    (Elsevier Science Bv, 2017)
    Soon, SV
    ;
    Baharumshah, AZ
    ;
    Shariff, NSM
    This paper investigates the stationarity behavior of the ex-post real interest rates (RIRs) for 12 Asian countries. Formal tests conducted indicate that high persistence is an intrinsic characteristic in the majority of the RIRs. We consider local-persistent model to assess the degree of persistence in these series. The findings from this devise reveal that RIRs are persistent, but are characterized by a mean-reverting process. The consistency of the persistence comparable amongst the series is confirmed after accounting for the volatility of the consumption growth. Applying a test proposed by Leybourne et al. (2007a) that allows for long memory dynamics, we reconfirm the characteristic of the series. Building on previous studies, this paper provides favorable support for the long-run Fisher hypothesis and help to solve an intertemporal consumption behavior puzzle across the emerging and advanced countries. Finally, the results for the G-7 countries are presented for comparison. (C) 2017 Elsevier B.V. All rights reserved.
      1
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