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/7876/1/1478-2775-1-SM.pdf
http://journalarticle.ukm.my/7876/
http://www.ukm.my/fep/jem/
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spelling my-ukm.journal.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/
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
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/7876/1/1478-2775-1-SM.pdf
http://journalarticle.ukm.my/7876/
http://www.ukm.my/fep/jem/
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score 13.222552