IDEAS home Printed from
   My bibliography  Save this article

Macroeconomic factors of exchange rate volatility: Evidence from four neighbouring ASEAN economies


  • Chong Lee-Lee
  • Tan Hui-Boon


Purpose - The purpose of this study is to examine the factors of exchange rate volatility from the macroeconomic perspective for four neighbouring ASEAN economies. Design/methodology/approach - This study has scrutinised the link between macroeconomic factors and exchange rate volatility in both the short and the long run by applying econometrics techniques. Findings - This study further suggests the link between macroeconomic factors and exchange rate volatility in both the short and the long run for the selected economies. The empirical results, however, indicate that a set of common factors seems to influence the exchange rate volatility, whereby the stock market is a great influence commonly found across countries. The Indonesian rupiah seems to be the most sensitive to the innovations in macroeconomic factors, while the Singapore dollar is the least. Research limitations/implications - The macroeconomic factors are believed to be the forces behind exchange rate volatility through the presumable rigidities of their exchange rates, resulting from the managed float exchange rate system adopted by those countries. Their capital markets are vital in maintaining exchange rate stability, hence suggesting the imperative role of respective authorities and market players in managing a viable capital market. Originality/value - Little attention has been given to developing countries' experiment with their exchange rate systems due to their presumed rigid volatility. This study adopts a more sophisticated approach in measuring the volatility of the exchange rate and examines the underlying factors of exchange rate volatility instead of the level of exchange rate.

Suggested Citation

  • Chong Lee-Lee & Tan Hui-Boon, 2007. "Macroeconomic factors of exchange rate volatility: Evidence from four neighbouring ASEAN economies," Studies in Economics and Finance, Emerald Group Publishing, vol. 24(4), pages 266-285, October.
  • Handle: RePEc:eme:sefpps:v:24:y:2007:i:4:p:266-285

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Agus Salim & Kai Shi, 2019. "A Cointegration of the Exchange Rate and Macroeconomic Fundamentals: The Case of the Indonesian Rupiah vis-รก-vis Currencies of Primary Trade Partners," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-17, May.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:sefpps:v:24:y:2007:i:4:p:266-285. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.