IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this book

Diffusion Process for Exchange Rates in SEACEN Countries: Exchange Rate Equilibrium Level and its Volatility

Listed author(s):
  • Dr. Ryoo Sang Dai
Registered author(s):

    A stochastic differential equation is at the very core of short-term dynamics of financial market, especially short-term interest rate dynamics. Various parameter restrictions on the unrestricted model have led to many special models. Recently, the diffusion process have been applied to short-term exchange rate movements, and verified from an empirical standpoint. Using short-term market exchange rate data of some SEACEN countries, this paper evaluates which special model best fits the exchange rate data, and examines the way to obtain the equilibrium level of exchange rate. The modeling and estimation framework establish an approach for explaining the volatility in exchange rate as well as for detecting the equilibrium exchange rate. For policy implications of indivisual countries, more work such as examining the structural change need to be done.

    If 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.

    File URL:
    Download Restriction: no

    in new window

    This book is provided by South East Asian Central Banks (SEACEN) Research and Training Centre in its series Staff Papers with number sp71 and published in 2006.
    ISBN: 983-9478-52-4
    Handle: RePEc:sea:spaper:sp71
    Contact details of provider: Postal:
    Level 5, Sasana Kijang, Bank Negara Malaysia, 2 Jalan Dato? Onn, 50480 Kuala Lumpur

    Phone: 603-9195 1888
    Fax: 603-9195 1801
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:sea:spaper:sp71. 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: (Yunyee)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.