Liew Khim Sen and Ahmad Zubaidi Baharumshah
Pertanika Journal of Tropical Agricultural Science, Volume 11, Issue 1, March 2003
Keywords: Exchange rate, depreciation, ARIMA, ARFIMA, forecasting
Published on:
Five ASEAN currencies are investigated in an attempt to determine whether the post-crisis ASEAN exchange rates are more predictable by the US dollar or Japanese yen. Results suggest that prior to the 1997/1998 Financial Crisis, all exchange rates were better predicted by the US dollar as the base currency. The post-crisis Singapore exchange rate continues to be better predicted in US dollar. On the other hand, Japanese yen better predicted other post-crisis ASEAN exchange rates.
ISSN 1511-3701
e-ISSN 2231-8542