This article contributes to the debate on hedge funds and exchange rates in Indonesia. It examines causal relations using a new Granger noncausality procedure proposed by Toda and Yamamoto (1995). It utilizes monthly observations during January 1994 – April 2002. In order to better understand the issue, two sub-sample periods are considered. The pre-crisis period is from January 1994 to December 1996. The crisis period continues from January 1997 to April 2002. The findings show that the hedge funds Granger-cause rupiah for both periods. However, the causal effect is stronger for the crisis period.
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Volume (Year): V (2007) Issue (Month): 3 (September) Pages: 59-63 Download reference. The following formats are available: HTML
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Handle: RePEc:icf:icfjfe:v:05:y:2007:i:3:p:59-63
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