Stability in ASEAN+3 exchange markets: An EGARCH-M approach

• Main Authors: Rahman, Md. Saifur, Shahari, Farihana
• Format: Article
• Language: English
• Published: World Scientific and Engineering Academy and Society (WSEAS) 2015
• Subjects: HG3810 Foreign exchange
• Online Access: http://irep.iium.edu.my/52785/1/Stability%20in%20ASEAN%2B3%20exchange%20markets-%20An%20EGARCH-M%20approach.pdf; http://irep.iium.edu.my/52785/; http://www.wseas.org/multimedia/journals/economics/2015/a825707-337.pdf

This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets.