Exchange rate uncertainty and the level of investment in selected South-east Asian countries
The 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.
Volume (Year): 36 (2004)
Issue (Month): 19 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, J. & Shin, K., 1996.
"The Role of a Variable Input in the Relationship Between Investment and Uncertainty,"
96-97-08, California Irvine - School of Social Sciences.
- Kwanho Shin & Jaewoo Lee, 2000. "The Role of a Variable Input in the Relationship between Investment and Uncertainty," American Economic Review, American Economic Association, vol. 90(3), pages 667-680, June.
- Lee, J. & Shin, K., 1997. "The Role of a Variable Input in the Relationship Between Investment and Uncertainty," Papers 97-98-11, California Irvine - School of Social Sciences.
- Peter C.B. Phillips & Pierre Perron, 1986.
"Testing for a Unit Root in Time Series Regression,"
Cowles Foundation Discussion Papers
795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Darby, Julia, et al, 1999.
"The Impact of Exchange Rate Uncertainty on the Level of Investment,"
Royal Economic Society, vol. 109(454), pages C55-67, March.
- Darby, Julia & Hughes Hallett, Andrew & Ireland, Jonathan & Piscitelli, Laura, 1998. "The Impact of Exchange Rate Uncertainty on the Level of Investment," CEPR Discussion Papers 1896, C.E.P.R. Discussion Papers.
- Julia Darby & Andrew Hughes Hallett & Jonathan Ireland & Laura Piscitelli, . "The Impact of Exchange Rate Uncertainty on the Level of Investment," ICMM Discussion Papers 49, Department of Economics University of Strathclyde.
- Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:36:y:2004:i:19:p:2161-2165. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.