On the Won and Other East Asian Currencies

Menzie Chinn

No 6671, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Five East Asian currencies -- the Indonesian rupiah, Korean won, Singapore dollar, Taiwanese dollar, and the Thai baht -- are modeled in the framework of a monetary specification augmented by the relative price of nontradables. This relative price variable proxies for the Balassa-Samuelson effect in East Asian real exchange rates identified in Chinn (1997b). All of the currencies fit the long run implications of various types of monetary models, according to Johansen (1988) multivariate cointegration tests. Exchange rates do the bulk of adjustment toward equilibrium, except in the cases of the Thai baht and the New Taiwan dollar. For these currencies, interest rates and money supplies move to restore equilibrium. In ex post simulation, the out-of-sample fit of the estimated models is relatively good for the won, Singapore and New Taiwan dollars, and for the baht, although in no case is the exact magnitude and timing of the currency clashes predicted. The estimated model completely fails to track the rupiah out-of-sample.

JEL-codes: F31 F41 (search for similar items in EconPapers)
Date: 1998-08
New Economics Papers: this item is included in nep-ifn
Note: IFM
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Citations: View citations in EconPapers (9)

Published as International Journal of Finance & Economics, Vol. 4, no. 2 (April 1999): 113-127

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Related works:
Journal Article: On the Won and Other East Asian Currencies (1999)
Working Paper: On the won and other East Asian currencies (1997)
Working Paper: ON the Won: And Other East Asian Currencies (1997)
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