English, Article edition: Macroeconomic factors of exchange rate volatility: Evidence from four neighbouring ASEAN economies Chong Lee-Lee; Tan Hui-Boon

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Bookmark: http://trove.nla.gov.au/version/8657
Physical Description
  • article
Language
  • English

Edition details

Title
  • Macroeconomic factors of exchange rate volatility: Evidence from four neighbouring ASEAN economies
Author
  • Chong Lee-Lee
  • Tan Hui-Boon
Physical Description
  • article
Notes
  • Purpose – The purpose of this study is to examine the factors of exchange rate volatility from the macroeconomic perspective for four neighbouring ASEAN economies. Design/​methodology/​approach – This study has scrutinised the link between macroeconomic factors and exchange rate volatility in both the short and the long run by applying econometrics techniques. Findings – This study further suggests the link between macroeconomic factors and exchange rate volatility in both the short and the long run for the selected economies. The empirical results, however, indicate that a set of common factors seems to influence the exchange rate volatility, whereby the stock market is a great influence commonly found across countries. The Indonesian rupiah seems to be the most sensitive to the innovations in macroeconomic factors, while the Singapore dollar is the least. Research limitations/​implications – The macroeconomic factors are believed to be the forces behind exchange rate volatility through the presumable rigidities of their exchange rates, resulting from the managed float exchange rate system adopted by those countries. Their capital markets are vital in maintaining exchange rate stability, hence suggesting the imperative role of respective authorities and market players in managing a viable capital market. Originality/​value – Little attention has been given to developing countries' experiment with their exchange rate systems due to their presumed rigid volatility. This study adopts a more sophisticated approach in measuring the volatility of the exchange rate and examines the underlying factors of exchange rate volatility instead of the level of exchange rate.
  • Econometrics, Exchange rate mechanisms, GARCH specification, Macroeconomics
  • RePEc:eme:sefpps:v:24:y:2007:i:4:p:266-285
Language
  • English
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