The long run relationship between exchange rate and its determinants in selected ASEAN countries

Noor Zainab Tunggal, (2010) The long run relationship between exchange rate and its determinants in selected ASEAN countries. Masters thesis, Universiti Malaysia Sabah.

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Abstract

This study examines the long-run relationship between exchange rate and its determinants for Indonesia, the Philippines, Singapore, Malaysia and Thailand vis-avis the United States and Japan by applying standard monetary model augmented with stock price and current account. The samples period covers from quarter one of 1991 for Indonesia, Thailand and Malaysia, 1985 for Singapore and 1981 for the Philippines to quarter three of 2007. The integration order tests and ARDL model for cointegration were implemented in this study to verify the order of integration for the series and to determine the cointegration relationship among variables. This study has showed that all variables are integrated in mixed order, .l(0) or .l(l) for Indonesia, the Philippines, Singapore, Malaysia and Thailand against the United States and Japan. Moreover, the majority of countries, namely, Indonesia, the Philippines and Singapore have exhibit long-run relationship between exchange rate and its determinants. Meanwhile, this study confirmed that there was no long-run relationship among variables for the case of Thailand regardless of whether the United States or Japan was used as base currencies. Furthermore, there was no long-run relation between exchange rate and its fundamentals for Malaysia against the United States and inconclusive result for Malaysia vis-a-vis Japan. In this study, there were some variables are important to exchange rate for each country. Thus, all the results were in mixed evidence for all the countries. Finally, the empirical findings showed that stock price and current account are important determinants to be included in cointegration test. In other words, models of exchange rate should be extended to include stock price and current account in estimating long-run relationship among variables. Keywords.

Item Type: Thesis (Masters)
Uncontrolled Keywords: exchange rates, equity markets, current account balance, augmented monetary model, ARDL model for cointegration.
Subjects: H Social Sciences > HG Finance
Divisions: SCHOOL > Labuan School of International Business and Finance
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 30 Jul 2013 04:21
Last Modified: 11 Oct 2017 07:31
URI: http://eprints.ums.edu.my/id/eprint/6661

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