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Long memory features and relationship stability of Asia-Pacific currencies against USD

Author

Listed:
  • Murugesan Selvam
  • Amirdha Vasani Sankarkumar
  • Balasundaram Maniam
  • Marxia Oli Sigo

Abstract

This research study examines the behavior of currency rate, long memory features, and long-term stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent co-integration model, and figures to investigate the normality, stationarity, long memory features, and long-term relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.

Suggested Citation

  • Murugesan Selvam & Amirdha Vasani Sankarkumar & Balasundaram Maniam & Marxia Oli Sigo, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 97-109, March.
    • Handle: RePEc:pdc:jrnbeh:v:13:y:2017:i:1:p:97-109
    DOI: 10.15208/beh.2017.07
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • H21 - Public Economics - - Taxation, Subsidies, and Revenue - - - Efficiency; Optimal Taxation
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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