Post-crisis Exchange Rate Regimes in ASEAN:A New Empirical Test Based on Intra-daily Data

Shin-ichi Fukuda () and Sanae Ohno
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Sanae Ohno: Faculty of Economics, Musashi University

No CIRJE-F-441, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The purpose of this paper is to investigate what affected the post-crisis exchange rates of three ASEAN countries: Singapore, Thailand, and Malaysia. Our critical departure from previous studies is the use of intra-daily exchange rates. The use of the intra-daily data is useful in removing possible estimation biases which the choice of numeraire may cause. It can also contrast exchange rate movements during the time zone when the government intervention is active with those when the intervention is not active. We examine how and when the ASEAN currencies changed their correlations with the U.S. dollar and the Japanese yen. We find significant structural breaks in the correlations during the time zone when East Asian market is open. In the post-crisis period, the first structural break happened when Malaysia adopted the fixed exchange rate and the second break happened when some East Asian countries introduced inflation targeting. The structural breaks suggest strong monetary and real linkages among the ASEAN countries.

Pages: 38pages
Date: 2006-10
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-sea
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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf441.pdf (application/pdf)

Related works:
Journal Article: POST-CRISIS EXCHANGE RATE REGIMES IN ASEAN: A NEW EMPIRICAL TEST BASED ON INTRA-DAILY DATA (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2006cf441

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