Exchange Market Pressure and Monetary Policies in ASEAN5

Anggraeni Ratnasari and Tri Widodo ()

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this research is to analyze the relationship between Exchange Market Pressure (EMP) and monetary policies in ASEAN5 (Indonesia, Malaysia, the Philippines, Thailand, and Singapore). This research applies Vector Error Correction Model (VECM) and monthly data for the periods January 2006 – December 2016 for individual country estimation. The results show that the ASEAN5 monetary authorities have responded the increase of EMP by contracting domestic credit in the non-crisis periods, and by providing more liquidity to the bank system in the crisis periods. In addition, in the case of ASEAN5 the increase in interest rate differential has reduced the EMP.

Keywords: Exchange Market Pressure; Domestic Credit; Interest Rates Differential; Monetary Policy (search for similar items in EconPapers)
JEL-codes: F31 F33 F37 (search for similar items in EconPapers)
Date: 2017-09-22
New Economics Papers: this item is included in nep-cba, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81543

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