The Predictability of ASEAN-5 Exchange Rates
In an attempt to determine the predictability of ASEAN exchange rates, five currencies including Malaysian ringgit, Thailand baht, Singapore dollar, Indonesian rupiah and the Philippines peso, denominated in US dollar as well as Japanese yen, were modeled using advanced time series analysis. Results suggested that Singapore exchange rate could be better predicted when denominated in US dollar, most probably because the East Asian Financial Crisis did not affect them both. On the other hand, other Asean exchange rates were better predicted when denominated in Japanese yen, as they had closer economic ties with Japan. However, while Japan had undergone serious recession after the crisis, it did not experience dramatic political instability as experienced by Indonesia, hence Indonesian rupiah remained unpredictable by yen. These results show that although advanced time series analysis dealt with economic fundamentals implicitly; it still could be a powerful tool for exchange rates modeling and forecasting, especially in the medium to long term.
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.:
- Jeremy Berkowitz & Lorenzo Giorgianni, 2001.
"Long-Horizon Exchange Rate Predictability?,"
The Review of Economics and Statistics,
MIT Press, vol. 83(1), pages 81-91, February.
- Liew, Venus Khim-Sen & Shitan, Mahendran & Hussain, Huzaimi, 2000. "Time series modelling and forecasting of Sarawak black pepper price," MPRA Paper 791, University Library of Munich, Germany.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Lorenzo Giorgianni & Jeremy Berkowitz, 1997. "Long; Horizon Exchange Rate Predictability?," IMF Working Papers 97/6, International Monetary Fund.
- Lupoletti, William M & Webb, Roy H, 1986. "Defining and Improving the Accuracy of Macroeconomic Forecasts: Contributions from a VAR Model," The Journal of Business, University of Chicago Press, vol. 59(2), pages 263-85, April.
- Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
- Robert B. Litterman, 1985.
"Forecasting with Bayesian vector autoregressions five years of experience,"
274, Federal Reserve Bank of Minneapolis.
- Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
- Su Zhou, 1998. "Exchange rate systems and linkages in the pacific basin," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(1), pages 66-84, March.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpif:0307004. 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: (EconWPA)
If references are entirely missing, you can add them using this form.