Cointegration Test on ASEAN Currencies Before and During the Currency Turmoil.

Jabatan Kewangan
Fakulti Pengurusan
Perniagaan Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor D. E


Jabatan Kewangan
Fakulti Pengurusan Perniagaan
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor D. E


Fakulti Sains dan Teknologi
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor D. E


Abstract

The impact of the Southeast Asian currency turmoil on some ASEAN countries demonstrates the need to understand the regional currency movements. In view of the growing interest in the Southeast Asian currency turmoil, this paper investigates the relationship between the main ASEAN currencies namely, Thai Bhat, Malaysian Ringgit, Singapore Dollar, Indonesia Rupiah and the Philipines Peso by applying the cointegration test to determine the long run dynamics between the currencies. The causality test is also performed to determine the influence of each currency on each other. The results show that the currencies are non-stationary and at most there are four cointegrating vectors for the periods before and during the turmoil. The Granger causality test shows that Malaysian currency seems to have the most significant causalities on the ASEAN currencies during the turmoil. However, the variance decomposition and the multivariate vector autoregression reveal that the past information of each currency contributed the most to its forecast error.

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Citation

Mat Nor, F., Yakob, N. A., & Isa, Z. (2000). Cointegration Test on ASEAN Currencies Before and During the Currency Turmoil.. Jurnal Pengurusan, 19, 75–88.

@article{matnor2000cointegration,
  title={Cointegration Test on ASEAN Currencies Before and During the Currency Turmoil.},
  author={Mat Nor, Fauzias and Yakob, Noor Azuddin and Isa, Zaidi},
  journal={Jurnal Pengurusan},
 

volume={19},
  number={},
  pages={75—88},
  year={2000},
  doi={},
  publisher={Penerbit UKM},
}

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19 (2000) 75 – 88

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