UPM Institutional Repository

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


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.

Download File


Download (5MB)

Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Publisher: Universiti Putra Malaysia Press
Keywords: Exchange rate; Depreciation; ARIMA; ARFIMA; Forecasting
Depositing User: Nur Izyan Mohd Zaki
Date Deposited: 26 Nov 2009 01:47
Last Modified: 11 Sep 2015 06:13
URI: http://psasir.upm.edu.my/id/eprint/3424
Statistic Details: View Download Statistic

Actions (login required)

View Item View Item