UPM Institutional Repository

Currency linkages among ASEAN


Lee, Chin and Mohamed, Azali (2010) Currency linkages among ASEAN. The Singapore Economic Review, 55 (3). pp. 459-470. ISSN 0217-5908; ESSN: 1793-6837


The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of a Singapore dollar bloc during the pre- and post-crisis periods by using the Johansen multivariate cointegration test and the Granger causality test. Significant nonstationarity and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against the Singapore dollar, the Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period. However there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but that ASEAN countries are financially more integrated after the crisis. This finding also indicates increasingly role of the Singapore dollar in ASEAN. Therefore, the Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding the US dollar to the model. The finding ascertains the influence of the US dollar on ASEAN currencies before the crisis.

Download File

Text (Abstract)
Currency linkages among ASEAN.pdf

Download (35kB) | Preview

Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1142/S0217590810003845
Publisher: World Scientific Publishing
Keywords: Exchange rate; Cointegration; Granger causality; ASEAN
Depositing User: Nabilah Mustapa
Date Deposited: 14 Aug 2018 08:48
Last Modified: 14 Aug 2018 08:48
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1142/S0217590810003845
URI: http://psasir.upm.edu.my/id/eprint/13841
Statistic Details: View Download Statistic

Actions (login required)

View Item View Item