Exchange rate uncertainty and the level of investment in selected South-east Asian countries
AbstractThe effect of real exchange rate uncertainty on aggregate private investment in Indonesia, Malaysia, the Philippines and Thailand is examined using time series data from 1972-2000. Since the use of non-stationary time series data may produce spurious results, the data series are tested for stationarity using the augmented Dickey-Fuller and Phillips-Perron tests. After establishing the stationarity of the data series, cointegration tests are performed. The cointegration test results reject the hypothesis of no cointegration. Therefore, an error correction model is developed and estimated. The estimated results point to an inconclusive empirical relationship between real exchange rate volatility and aggregate private investment.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics.
Volume (Year): 36 (2004)
Issue (Month): 19 ()
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Web page: http://www.tandf.co.uk/journals/routledge/00036846.html
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