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Predictability of ASEAN-5 exchange rates in the post-crisis era

Liew, Khim Sen 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; ESSN: 2231-8534

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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 09:47
Last Modified:11 Sep 2015 14:13

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