Post-crisis Exchange Rate Regimes in ASEAN:A New Empirical Test Based on Intra-daily Data (Forthcoming in "Singapore Economic Review". )
AbstractThe purpose of this paper is to investigate what affected the post-crisis exchange rates of three ASEAN countries: Singapore, Thailand, and Malaysia. Our critical departure from previous studies is the use of intra-daily exchange rates. The use of the intra-daily data is useful in removing possible estimation biases which the choice of numeraire may cause. It can also contrast exchange rate movements during the time zone when the government intervention is active with those when the intervention is not active. We examine how and when the ASEAN currencies changed their correlations with the U.S. dollar and the Japanese yen. We find significant structural breaks in the correlations during the time zone when East Asian market is open. In the post-crisis period, the first structural break happened when Malaysia adopted the fixed exchange rate and the second break happened when some East Asian countries introduced inflation targeting. The structural breaks suggest strong monetary and real linkages among the ASEAN countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-079.
Length: 38 pages
Date of creation: Oct 2006
Date of revision:
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.