An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen
Journal Title: Asian Economic and Financial Review - Year 2011, Vol 1, Issue 4
Abstract
This study examines an empirical analysis of long-run and short-run forcing variables of purchasing power parity (PPP) for ASEAN-5 currencies: Malaysian Ringgit, Indonesian Rupiah, the Philippines Peso, Thailand Bath, and Singapore Dollar, against the Japanese Yen, i.e., their real exchange rate (RER). This study uses a recently developed autoregressive distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1 – 2006:Q2. Our empirical results point out that the domestic money supply (M1) is the significant long run forcing variable of PPP for ASEAN-5 RER’s for the study periods. However, in the short- run the impact of variables have different impact during the sub-periods and full period for ASEAN-5 countries, the results suggest that the domestic money supply (M1) for Malaysia, Indonesia, Philippines ,and Singapore respectively, , have the highest significant short run forcing variable of PPP for countries RER’s. However, foreign interest rates followed by domestic money supply are the short-run forcing variables for Thailand’s RER. This may be due to the peculiarity of Thailand government’s management of the Asian Financial Crisis (AFC).
Authors and Affiliations
Abdalrahman AbuDalu| College of Business, Universiti Utara Malaysia, Kedah, Malaysia, Elsadig Musa Ahmed| Economics Unit, Faculty of Business and Law, Multimedia University, 75450 Melaka, Malaysia
Keywords
Related Articles
- EP ID EP1728
- DOI -
- Views 571
- Downloads 36
THE EFFECT OF CORRUPTION ON FIRM GROWTH: EVIDENCE FROM FIRMS IN TURKEY
To our knowledge, there is no micro-level study paying attention to the influence of corruption on firm growth. We aim to fill this gap in the literature. This paper therefore contributes to the limited literature on the...
TARIFF, CONSUMPTION HOME BIAS AND MACROECONOMIC DYNAMICS
In this paper, New Open Economy Macroeconomics is served as an analytical framework to build a setting which is in line with structure of an imperfectly competitive market, we follow an open economy model with micro-foun...
DOES PRICING DEVIATION OF EXCHANGE-TRADED FUNDS PREDICT ETF RETURNS?
This paper investigates whether the pricing deviation of inactive exchange-traded funds (ETFs) differs from that of active ETFs and can predict future ETF returns better and longer. The results show that, compared to act...
ANALYSIS OF THE CONTAGION EFFECT TO THE CREDIT DERIVATIVE VALUATION
This study explores a credit derivative pricing model with counterparty risk and the contagion effect. To compare with the standard credit derivative pricing model, we analyze the counterparty risk and the contagion effe...
DOES BANKING SECTOR REFORM BUY EFFICIENCY OF BANKING SECTOR OPERATIONS? – EVIDENCE FROM RECENT NIGERIA’S BANKING SECTOR REFORMS
There is a growing concern associated with the recent banking sector reform on whether it achieved its purpose of making banks efficient or not. Several studies have had several opinions with respect to the real impacts...