Current account, exchange rate dynamics and the predictability: the experience of Malaysia and Singapore

Baharumshah, Ahmad Zubaidi; Masih, Mansur

doi:10.1016/j.intfin.2004.06.002

Cited by 5 publications

(16 citation statements)

References 37 publications

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“…According to this theory, the current account deficit and investor perceptions about how the current account deficit will be addressed are the two crucial factors in determining exchange rates. This theory seems to be consistent with empirical findings, such as those reported by Baharumshah and Masih (2005), on the relationship between exchange rates and the current account. The assumptions and essential equations of the model are delineated in the Appendix of this paper.…”

Section: Introductionsupporting

confidence: 92%

An empirical investigation of investor expectations in the currency market

Murphy

2008

International Review of Financial Analysis

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Section: Introductionsupporting

confidence: 92%

An empirical investigation of investor expectations in the currency market

Murphy

2008

International Review of Financial Analysis

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“…Prior empirical studies 4 show supportive evidences on this model. Along this line, numerous evidences on recent studies that exchange rates of Asian economies cointegrate with current account were found continuously [25][26] [5].…”

Section: The Relationship Of Current Account and Exchange Ratementioning

confidence: 90%

“…Following such tendency, the issues about current account have become an important subject of recent literatures. Numerous studies proposed evidences on a linkage between current account and exchange rate ( [5], [6], [7], [8], [9]). A number of researches compared stock price with exchange rate shocks to explore which is more important for current account adjustment ( [10]).…”

Section: Introductionmentioning

confidence: 99%

Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets

Kuo

2011

Qual Quant

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Abstract-This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently exhibited a bi-directional causal relationship between any two of three indicators. Unlike Pan et al. (2007) and Phylaktis and Ravazzolo (2005), we found that such cointegration is influenced by three characteristics: capital control; flexibility in foreign exchange rates; and the ratio of trade to GDP. These characteristics are the result of liberalization in each Asian country. This implies that liberalization policies are effective on improving the cointegration between any two of financial markets and current account for ten Asian countries.

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“…Data of the United States dollar denominated the nominal exchange rates of the Malaysian Ringgit, the Indonesian Rupiah, the Philippines Peso, the Singapore Dollar, and the Thailand Baht, as well as relative money supply, relative interest rate, and relative real income which are included in this study. Treasury bill rate is a proxy to interest rates for the United States, Malaysia, Singapore and the Philippines (Baharumshah et al, 2002;Baharumshah and Masih, 2005;Islam and Hassan, 2006), and Lending rate is a proxy for interest rates for Thailand and Indonesia. Real gross domestic products (GDP) are used to represent the real incomes.…”

Section: Data For Estimationmentioning

confidence: 99%

Panel Analysis of Monetary Model of ASEAN-5 Exchange Rates

Tunggal¹,

Kadir²,

Liew³

2018

IBR

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In this study, we examined whether the exchange rates in ASEAN-5 countries are driven by monetary fundamentals. We applied the panel unit root tests and found that the United States denominated nominal exchange rates of Malaysian Ringgit, Indonesian Rupiah, Philippines Peso, Singapore Dollar, and Thailand Baht are all integrated of order one. Meanwhile, relative money supply and relative real income are also integrated in the same order. Nonetheless, the relative interest rate is integrated in order zero, and it implies the uncovered interest rate parity held in ASEAN-5. By using a panel cointegration test pioneered by Pedroni (2000, 2004), we found evidence that there is a long-run relationship between nominal exchange rate and its monetary fundamentals. Consistent with the monetary model of the exchange rate, relative money supply is positively related to nominal exchange rates, while relative real income is negatively related to nominal exchange rates. Therefore, this study reveals the importance of relative real money supply and relative income for the exchange rate market players to predict and monitor ASEAN-5 exchange rates.

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Current account, exchange rate dynamics and the predictability: the experience of Malaysia and Singapore

Cited by 5 publications

References 37 publications

An empirical investigation of investor expectations in the currency market

An empirical investigation of investor expectations in the currency market

Is the liberalization policy effective on improving bivariate cointegration of current accounts, foreign exchange, stock prices? Further evidence from Asian markets

Panel Analysis of Monetary Model of ASEAN-5 Exchange Rates

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