This paper investigates stationarity of four South Asian real exchange rates. In addition to the unit root tests that assume linearity in real exchange rate series, we apply tests to check stationarity that assume nonlinearity in a particular time series. Results from linear unit root tests...

Purpose – The purpose of this paper is to uncover the direction of causality between foreign exchange market and stock market in Bangladesh, where financial markets are yet in their early development stage. Design/methodology/approach – The paper employs the Granger causality tests using...

Purpose – This paper seeks to contribute to the study of the relationship between savings and investment in a panel of five South Asian countries. Design/methodology/approach – A number of unit root tests such as Levin, Lin, and Chu or LLC, Breitung, Im, Pesaran, and Shin or IPS,...

Purpose – This paper seeks to contribute to the study of the relationship between savings and investment in a panel of five South Asian countries. Design/methodology/approach – A number of unit root tests such as Levin, Lin, and Chu or LLC, Breitung, Im, Pesaran, and Shin or IPS, Fisher-type...

This study investigates sustainability of external debt under a two-step non-linear framework. The first step uses a general linearity test proposed by Harvey and Leybourne (2007) to determine the linearity property of external debt. The second step applies a non-linear ADF unit root test...

Purpose – The purpose of this paper is to uncover the direction of causality between foreign exchange market and stock market in Bangladesh, where financial markets are yet in their early development stage. Design/methodology/approach – The paper employs the Granger causality tests using...

This paper examines the weak form efficiency of the foreign exchange markets in seven SAARC countries using monthly return series for each of these markets over a period of 21 years (1985-2005). We applied a battery of unit root tests and variance ratio tests (individual and multiple) to see...