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Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era

Sen, Liew Khim and Baharumshah, Ahmad Zubaidi (2003) Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era. Pertanika Journal of Social Sciences & Humanities, 11 (1). pp. 33-40. ISSN 0128-7702

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Abstract

Five ASEAN currencies are investigated in an attempt to determine whether the post-crisis ASEAN exchange rates are more predictable by the US dollar or Japanese yen. Results suggest that prior to the 1997/1998 Financial Crisis, all exchange rates were better predicted by the US dollar as the base currency. The post-crisis Singapore exchange rate continues to be better predicted in US dollar. On the other hand,japanese yen better predicted other post-crisis ASEAN exchange rates.

Item Type:Article
Keyword:Exchange rate, depreciation, ARIMA, ARFIMA, forecasting
Faculty or Institute:Faculty of Economics and Management
Publisher:Universiti Putra Malaysia Press
ID Code:3424
Deposited By: Nur Izyan Mohd Zaki
Deposited On:26 Nov 2009 01:47
Last Modified:27 May 2013 07:08

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