This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the...
Liew, Venus Khim-Sen, Chia, Ricky Chee-Jiun, Ling, Tai-Hu
This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis...
Liew , Venus Khim-Sen, Chia, Ricky Chee-Jiun, Puah, Chin-Hong
This study tests the hysteresis hypothesis of unemployment in fourteen OECD countries by examining the stationarity of unemployment rates using several panel unit root tests. Empirical results show...
Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions (2009)
Liew, Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Puah, Chin-Hong
This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. Multivariate cointegration approach (Johansan 1988, 1989 and...
Testing nonlinear convergence in Malaysia,1965-2003 (2008)
Habibullah, M.S., Dayang-Afizzah, A.M., Liew, Venus Khim-Sen, Lim, Kian-Ping
The purpose of the present paper is to examine income convergence in Malaysia by using the nonlinear unit root test due to Kapetanios et al. (KSS, 2003) and extended by Chong et al. (CHLL, 2008) to...
Real interest rate parity: evidence from East Asian economies relative to China (2008)
Liew , Venus Khim-Sen, Ling, Tai-Hu
This study examines the real interest rate parity (RIP) hypothesis in the case of East Asian economies by taking China as foreign counterpart. Results obtained from panel unit root tests are in line...
Monetary exchange rate model: supportive evidence from nonlinear testing procedures (2008)
Liew , Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Habibullah, Muzafar Shah, Midi, Habshah
Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of...
Fisher hypothesis: East Asian evidence from panel unit root tests (2007)
Ling, Tai-Hu, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study provides evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for cross-country variations in the estimation. Among others, one...
Day-of-the-week effects in selected East Asian stock markets (2007)
Chia, Ricky Chee-Jiun, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday...
Baharumshah, Ahmad Zubaidi, Liew, Venus Khim-Sen, Chan, Tze-Haw
This paper aims at testing international parity conditions by using nonlinear unit root tests advocated by Kapetanios et al. (2003, KSS). Results from the KSS tests based on 17 countries (G7 and 10...
Real interest rates equalization: The case of Malaysia and Singapore (2006)
Ling, Tai-Hu, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study provides some evidences showing high degree of financial integration from both evidences of common shocks and real interest parity in the context of two small and open economies, that is,...
Calendar anomalies in the Malaysian stock market (2006)
Chia, Ricky Chee-Jiun, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models; this study reveals the different anomaly...
Income convergence? Evidence of non-linearity in the East Asian Economies: A comment (2006)
Liew, Venus Khim-Sen, Ahmad, Yusuf
This study demonstrates the usefulness of Kapetanois et al. (2003) test in differentiating the two stages of income convergence—long run convergence and catching up. A re-examination of the “Four...
Linearity and stationarity of South Asian real exchange rates (2006)
Liew, Venus Khim-Sen, Lee, Hock-Ann, Lim, Kian-Ping, Lee, Huay-Huay
The linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test...
Income convergence: fresh evidence from the Nordic countries (2006)
Liew, Venus Khim-Sen, Ahmad, Yusuf
Using the recently developed linearity test and non-linear unit root test, this study shows that the income gaps of Finland, Norway and Sweden with respect to Denmark are non-linear but stationary...
A complementary test for ADF test with an application to the exchange rates returns (2005)
Liew, Venus Khim-Sen, Lau, Sie-Hoe, Ling, Siew-Eng
This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series. Supportive of Ahamada (2004), this study finds that the cumulative sums of squares procedure...
Liew, Venus Khim-Sen, Lee, Hock-Ann, Lim, Kian-Ping
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces...
Liew, Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Lau, Sie-Hoe
Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its symmetrical distribution matches that of the symmetrical exchange rate adjustment...
Time series modelling and forecasting of Sarawak black pepper price (2000)
Liew, Venus Khim-Sen, Shitan, Mahendran, Hussain, Huzaimi
Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and...
Income convergence: fresh evidence from the Nordic countries
Liew, Venus Khim-Sen, Ahmad, Yusuf
Using the recently developed linearity test and non-linear unit root test, this study shows that the income gaps of Finland, Norway and Sweden with respect to Denmark are non-linear but stationary...
Are Asian real exchange rates stationary?
Liew, Venus Khim-sen, Baharumshah, Ahmad Zubaidi, Chong, Terence Tai-leung
Time series test of nonlinear convergence and transitional dynamics
Chong, Terence Tai-Leung, Hinich, Melvin J., Liew, Venus Khim-Sen, Lim, Kian-Ping
This paper revisits the income convergence hypothesis by using the nonlinear unit root test of Kapetanios et al. [Kapetanios, G., Shin, Y. and A. Snell, 2003. Testing for a unit root in the nonlinear...
Liew, Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Lau, Sie-Hoe
Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its symmetrical distribution matches that of the symmetrical exchange rate adjustment...
Real interest rates equalization: The case of Malaysia and Singapore
Ling, Tai-Hu, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study provides some evidences showing high degree of financial integration from both evidences of common shocks and real interest parity in the context of two small and open economies, that is,...
Calendar anomalies in the Malaysian stock market
Chia, Ricky Chee-Jiun, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study examines the calendar anomalies in the Malaysian stock market. Using various generalized autoregressive conditional heteroskedasticity models; this study reveals the different anomaly...
Linearity and stationarity of South Asian real exchange rates
Liew, Venus Khim-Sen, Lee, Hock-Ann, Lim, Kian-Ping, Lee, Huay-Huay
The linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test...
A complementary test for ADF test with an application to the exchange rates returns
Liew, Venus Khim-Sen, Lau, Sie-Hoe, Ling, Siew-Eng
This study shows that augmented Dickey-Fuller (ADF) test failed to detect covariance nonstationary series. Supportive of Ahamada (2004), this study finds that the cumulative sums of squares procedure...
Income convergence? Evidence of non-linearity in the East Asian Economies: A comment
Liew, Venus Khim-Sen, Ahmad, Yusuf
This study demonstrates the usefulness of Kapetanois et al. (2003) test in differentiating the two stages of income convergence—long run convergence and catching up. A re-examination of the “Four...
Time series modelling and forecasting of Sarawak black pepper price
Liew, Venus Khim-Sen, Shitan, Mahendran, Hussain, Huzaimi
Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and...
Fisher hypothesis: East Asian evidence from panel unit root tests
Ling, Tai-Hu, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study provides evidence supportive of Fisher hypothesis in East Asian economies using panel unit root tests, which allow for cross-country variations in the estimation. Among others, one...
Real interest rate parity: evidence from East Asian economies relative to China
Liew , Venus Khim-Sen, Ling, Tai-Hu
This study examines the real interest rate parity (RIP) hypothesis in the case of East Asian economies by taking China as foreign counterpart. Results obtained from panel unit root tests are in line...
Monetary exchange rate model: supportive evidence from nonlinear testing procedures
Liew , Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Habibullah, Muzafar Shah, Midi, Habshah
Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of...
Day-of-the-week effects in selected East Asian stock markets
Chia, Ricky Chee-Jiun, Liew, Venus Khim-Sen, Syed Khalid Wafa, Syed Azizi Wafa
This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday...
The real interest rate differential: international evidence based on nonlinear unit root tests
Baharumshah, Ahmad Zubaidi, Liew, Venus Khim-Sen, Chan, Tze-Haw
This paper aims at testing international parity conditions by using nonlinear unit root tests advocated by Kapetanios et al. (2003, KSS). Results from the KSS tests based on 17 countries (G7 and 10...
Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen, Lee, Hock-Ann, Lim, Kian-Ping
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces...
Liew, Venus Khim-Sen, Lim, Kian-Ping, Ahmad, Yusuf, Terence, Tai-Leung Chong, Hinich, Melvin J.
The study of income convergence, which investigates whether the income gaps of poorer and richer countries will eventually narrows down or not, is important as it provides policy-makers with one...
Testing nonlinear convergence in Malaysia,1965-2003
Habibullah, M.S., Dayang-Afizzah, A.M., Liew, Venus Khim-Sen, Lim, Kian-Ping
The purpose of the present paper is to examine income convergence in Malaysia by using the nonlinear unit root test due to Kapetanios et al. (KSS, 2003) and extended by Chong et al. (CHLL, 2008) to...
Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen
This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the...
Liew, Venus Khim-Sen, Chia, Ricky Chee-Jiun, Ling, Tai-Hu
This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis...
Liew , Venus Khim-Sen, Chia, Ricky Chee-Jiun, Puah, Chin-Hong
This study tests the hysteresis hypothesis of unemployment in fourteen OECD countries by examining the stationarity of unemployment rates using several panel unit root tests. Empirical results show...
Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions
Liew, Venus Khim-Sen, Baharumshah, Ahmad Zubaidi, Puah, Chin-Hong
This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. Multivariate cointegration approach (Johansan 1988, 1989 and...