Exchange Rate and Price Adjustments in the Aftermath of the Asian Crisis

Eiji Fujii

International Journal of Finance & Economics, 2002, vol. 7, issue 1, 1-14

Abstract: This study investigates the behavioural dynamics of the real exchange rates of five East Asian economies--Indonesia, Korea, the Philippines, Singapore and Thailand--in the aftermath of the 1997 currency crisis. The results of cointegration analyses suggest that, despite the turbulent exchange rate movements during the crisis, the long-run purchasing power parity has remained to dictate the exchange rate and price relationship for all but Indonesia. The effects on the short-run dynamics are not unanimous, and there are indications of structural changes for selected countries, namely Korea and Thailand. Further, using impulse responses, we find that the speed of real exchange rate mean reversion is barely affected by the crisis, except for the Korean won. Overall, the empirical results suggest that the effects of the Asian crisis can generally be regarded as a temporary deviation rather than a fundamental shift in the real exchange rate behaviour. Copyright @ 2002 by John Wiley & Sons, Ltd. All rights reserved.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:7:y:2002:i:1:p:1-14

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().