Currency linkages among ASEAN
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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World Scientific Publishing
2010
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| Online Access: | http://psasir.upm.edu.my/id/eprint/13841/ http://psasir.upm.edu.my/id/eprint/13841/1/Currency%20linkages%20among%20ASEAN.pdf |
| _version_ | 1848842225833738240 |
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| author | Lee, Chin Mohamed, Azali |
| author_facet | Lee, Chin Mohamed, Azali |
| author_sort | Lee, Chin |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T07:55:45Z |
| format | Article |
| id | upm-13841 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T07:55:45Z |
| publishDate | 2010 |
| publisher | World Scientific Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-138412018-08-14T08:48:57Z http://psasir.upm.edu.my/id/eprint/13841/ Currency linkages among ASEAN Lee, Chin Mohamed, Azali 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. World Scientific Publishing 2010 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/13841/1/Currency%20linkages%20among%20ASEAN.pdf 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 https://www.worldscientific.com/doi/10.1142/S0217590810003845 10.1142/S0217590810003845 |
| spellingShingle | Lee, Chin Mohamed, Azali Currency linkages among ASEAN |
| title | Currency linkages among ASEAN |
| title_full | Currency linkages among ASEAN |
| title_fullStr | Currency linkages among ASEAN |
| title_full_unstemmed | Currency linkages among ASEAN |
| title_short | Currency linkages among ASEAN |
| title_sort | currency linkages among asean |
| url | http://psasir.upm.edu.my/id/eprint/13841/ http://psasir.upm.edu.my/id/eprint/13841/ http://psasir.upm.edu.my/id/eprint/13841/ http://psasir.upm.edu.my/id/eprint/13841/1/Currency%20linkages%20among%20ASEAN.pdf |