ASEAN-5 Exchange Rate Determination In The Presence Of Nonlinearity
This study finds that nominal exchange rate exhibits nonlinear long-run relationship with money supplies and aggregate outputs, in the context of ASEAN-5 countries, thereby validating the monetary model of exchange rate. While it is consistent with the earlier findings using the linear testing proce...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Serials Publications
2011
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18606/ http://ir.unimas.my/id/eprint/18606/7/ASEAN-5%20EXCHANGE%20RATE%20DETERMINATION%20%28abstract%29.pdf |
| Summary: | This study finds that nominal exchange rate exhibits nonlinear long-run relationship with money supplies and aggregate outputs, in the context of ASEAN-5 countries, thereby validating the monetary model of exchange rate. While it is consistent with the earlier findings using the linear testing procedures in this region, the current evidence of nonlinear relationship provides insightful information in explaining
why nominal exchange rate misalignments can sometimes be persistent in the short-run. With regard to the monitoring of exchange rates in these countries, policy makers could focus on the set of monetary variables, which have been shown well-coordinated with the dynamic of exchange rates in this study. |
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