Cointegration test on ASEAN currencies before and during the currency turmoil

The impact of the Southeast Asian currency turmoil on some ASEAN countries demonstrates the need to understand the regional currency movements. In view of the growing interest in the Southeast Asian currency turmoil, this paper investigates the relationship between the main ASEAN currencies namely,...

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Main Authors:	Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2000
Online Access:	http://journalarticle.ukm.my/1743/ http://journalarticle.ukm.my/1743/ http://journalarticle.ukm.my/1743/1/1465-2749-1-SM.pdf

id	ukm-1743
recordtype	eprints
spelling	ukm-17432016-12-14T06:30:08Z http://journalarticle.ukm.my/1743/ Cointegration test on ASEAN currencies before and during the currency turmoil Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa, The impact of the Southeast Asian currency turmoil on some ASEAN countries demonstrates the need to understand the regional currency movements. In view of the growing interest in the Southeast Asian currency turmoil, this paper investigates the relationship between the main ASEAN currencies namely, Thai Bhat, Malaysian Ringgit, Singapore Dollar, Indonesia Rupiah and the Philipines Peso by applying the cointegration test to determine the long run dynamics between the currencies. The causality test is also performed to determine the influence of each currency on each other. The results show that the currencies are non-stationary and at most there are four cointegrating vectors for the periods before and during the turmoil. The Granger causality test shows that Malaysian currency seems to have the most significant causalities on the ASEAN currencies during the turmoil. However, the variance decomposition and the multivariate vector autoregression reveal that the past information of each currency contributed the most to its forecast error Penerbit Universiti Kebangsaan Malaysia 2000-07 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/1743/1/1465-2749-1-SM.pdf Fauzias Mat Nor, and Noor Azuddin Yakob, and Zaidi Isa, (2000) Cointegration test on ASEAN currencies before and during the currency turmoil. Jurnal Pengurusan, 19 . ISSN 0127-2713 http://www.ukm.my/penerbit/jurus.htm
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	The impact of the Southeast Asian currency turmoil on some ASEAN countries demonstrates the need to understand the regional currency movements. In view of the growing interest in the Southeast Asian currency turmoil, this paper investigates the relationship between the main ASEAN currencies namely, Thai Bhat, Malaysian Ringgit, Singapore Dollar, Indonesia Rupiah and the Philipines Peso by applying the cointegration test to determine the long run dynamics between the currencies. The causality test is also performed to determine the influence of each currency on each other. The results show that the currencies are non-stationary and at most there are four cointegrating vectors for the periods before and during the turmoil. The Granger causality test shows that Malaysian currency seems to have the most significant causalities on the ASEAN currencies during the turmoil. However, the variance decomposition and the multivariate vector autoregression reveal that the past information of each currency contributed the most to its forecast error
format	Article
author	Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa,
spellingShingle	Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa, Cointegration test on ASEAN currencies before and during the currency turmoil
author_facet	Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa,
author_sort	Fauzias Mat Nor,
title	Cointegration test on ASEAN currencies before and during the currency turmoil
title_short	Cointegration test on ASEAN currencies before and during the currency turmoil
title_full	Cointegration test on ASEAN currencies before and during the currency turmoil
title_fullStr	Cointegration test on ASEAN currencies before and during the currency turmoil
title_full_unstemmed	Cointegration test on ASEAN currencies before and during the currency turmoil
title_sort	cointegration test on asean currencies before and during the currency turmoil
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2000
url	http://journalarticle.ukm.my/1743/ http://journalarticle.ukm.my/1743/ http://journalarticle.ukm.my/1743/1/1465-2749-1-SM.pdf
first_indexed	2023-09-18T19:34:13Z
last_indexed	2023-09-18T19:34:13Z
_version_	1777405162242965504

Cointegration test on ASEAN currencies before and during the currency turmoil

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