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
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.
|Keyword:||Exchange rate, depreciation, ARIMA, ARFIMA, forecasting|
|Faculty or Institute:||Faculty of Economics and Management|
|Publisher:||Universiti Putra Malaysia Press|
|Deposited By:||Nur Izyan Mohd Zaki|
|Deposited On:||26 Nov 2009 01:47|
|Last Modified:||27 May 2013 07:08|
Repository Staff Only: Edit item detail
Document Download Statistics
This item has been downloaded for since 26 Nov 2009 01:47.