Soon, Siew-Voon and Baharumshah, Ahmad Zubaidi (2021) Exchange rates and fundamentals: Further evidence based on asymmetric causality test. International Economics, 165. pp. 67-84. ISSN 2110-7017, DOI https://doi.org/10.1016/j.inteco.2020.12.001.
Full text not available from this repository.Abstract
This article uses an approach developed by Hatemi-J (2012) which is based on country-specific bootstrap critical values to disclose the nexus between the US dollar-based real exchange rates and observed macroeconomic fundamentals—relative price and interest rate differential. The Granger non-causality test reveals that fundamentals drive the US dollar exchange rates before the Asian financial crisis (AFC) in some cases. The exchange rate–fundamentals nexus is unstable and has reversed in the aftermath of the crisis. Exchange rates help to predict fundamentals in the post-AFC period, as suggested by the present value model. The result holds even after the Federal Reserve announces the termination of quantitative easing programs. Asian currency movements are expected to trigger adjustments in fundamentals in an asymmetric fashion. It tells us that the success of fundamental-based models in predicting the future path of Asian currencies against the US dollar may not be robust after all. © 2020 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy
| Item Type: | Article |
|---|---|
| Funders: | International Society for Business and Industrial Statistics, Universiti Malaya [Grant No: RF001P-2018 & UM.0000548/HRU.OP.RF] |
| Uncontrolled Keywords: | Asian countries; Asymmetry Granger causality; Bilateral exchange rate; Interest rate differential |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Divisions: | Faculty of Economics & Administration |
| Depositing User: | Ms Zaharah Ramly |
| Date Deposited: | 31 Oct 2023 01:27 |
| Last Modified: | 31 Oct 2023 01:27 |
| URI: | http://eprints.um.edu.my/id/eprint/35665 |
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