Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries

This study examines the association among price, exchange rates and interest rates in ASEAN-5 economies. Several studies have suggested the importance of the linkages between goods and assets market in the determination of exchange rates and one way to account for such linkages is to incorporate in...

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Main Authors:	Noreha Halid, Hawati Janor, Fauzias Mat Nor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2009
Online Access:	http://journalarticle.ukm.my/7876/ http://journalarticle.ukm.my/7876/ http://journalarticle.ukm.my/7876/1/1478-2775-1-SM.pdf

id	ukm-7876
recordtype	eprints
spelling	ukm-78762016-12-14T06:45:30Z http://journalarticle.ukm.my/7876/ Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries Noreha Halid, Hawati Janor, Fauzias Mat Nor, This study examines the association among price, exchange rates and interest rates in ASEAN-5 economies. Several studies have suggested the importance of the linkages between goods and assets market in the determination of exchange rates and one way to account for such linkages is to incorporate interest rate and prices. By using cointegration test, we found evidence on the long run relationship among the variables indicating the importance of interest rate and price on exchange rate when structural break is considered. The findings thus show that the linkages between goods and assets market found in developed countries has general applicability to other small open economies specifically for Malaysia only when structural break caused by the financial crisis 1997 is considered. The diferent in results far the sub period indicate that not only it is important to consider multivariate approach but also the impact of financial crisis in the future research examining exchange rate in ASEAN-5 countries. Penerbit Universiti Kebangsaan Malaysia 2009 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7876/1/1478-2775-1-SM.pdf Noreha Halid, and Hawati Janor, and Fauzias Mat Nor, (2009) Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries. Jurnal Ekonomi Malaysia, 43 . pp. 127-142. ISSN 0127-1962 http://www.ukm.my/fep/jem/
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study examines the association among price, exchange rates and interest rates in ASEAN-5 economies. Several studies have suggested the importance of the linkages between goods and assets market in the determination of exchange rates and one way to account for such linkages is to incorporate interest rate and prices. By using cointegration test, we found evidence on the long run relationship among the variables indicating the importance of interest rate and price on exchange rate when structural break is considered. The findings thus show that the linkages between goods and assets market found in developed countries has general applicability to other small open economies specifically for Malaysia only when structural break caused by the financial crisis 1997 is considered. The diferent in results far the sub period indicate that not only it is important to consider multivariate approach but also the impact of financial crisis in the future research examining exchange rate in ASEAN-5 countries.
format	Article
author	Noreha Halid, Hawati Janor, Fauzias Mat Nor,
spellingShingle	Noreha Halid, Hawati Janor, Fauzias Mat Nor, Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
author_facet	Noreha Halid, Hawati Janor, Fauzias Mat Nor,
author_sort	Noreha Halid,
title	Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
title_short	Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
title_full	Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
title_fullStr	Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
title_full_unstemmed	Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries
title_sort	beyond the purchasing power parity: exchange rates, prices and interest rates in asean-5 countries
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2009
url	http://journalarticle.ukm.my/7876/ http://journalarticle.ukm.my/7876/ http://journalarticle.ukm.my/7876/1/1478-2775-1-SM.pdf
first_indexed	2023-09-18T19:50:52Z
last_indexed	2023-09-18T19:50:52Z
_version_	1777406210032533504

Beyond the purchasing power parity: exchange rates, prices and interest rates in ASEAN-5 countries

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