Cointegration Test on ASEAN Currencies Before and During the Currency Turmoil.

Fauzias Mat Nor, Noor Azuddin Yakob, Zaidi Isa

Abstract


The impact of the Southeast Asian currency turmoil on some ASEAN countries demonstrates the need to understand the regional currency movements. In view of the growing interest in the Southeast Asian currency turmoil, this paper investigates the relationship between the main ASEAN currencies namely, Thai Bhat, Malaysian Ringgit, Singapore Dollar, Indonesia Rupiah and the Philipines Peso by applying the cointegration test to determine the long run dynamics between the currencies. The causality test is also performed to determine the influence of each currency on each other. The results show that the currencies are non-stationary and at most there are four co integrating vectors for the periods before and during the turmoil. The Granger causality test shows that Malaysian currency seems to have the most significant causalities on the ASEAN currencies during the turmoil. However, the variance decomposition and the multivariate vector autoregression reveal that the past information of each currency contributed the most to its forecast error.


ABSTRAK
Kesan daripada krisis mata wang yang melanda beberapa negara ASEAN menunjukkan kepentingan bagi memahami pergerakan mata wang serantau. Selaras dengan peningkatan minat ke atas krisis mata wang Asia Tenggara, kertas ini mengkaji hubungan di antara beberapa mata wang utama negara-negara ASEAN iaitu Bhat Thai, Ringgit Malaysia, Dollar Singapura, Rupiah Indonesia dan Peso Filipina dengan menggunakan ujian kointegrasi bagi menentukan dinamikjangka panjang di antara mata wang tersebut. Keputusan menunjukkan yang matawang-matawang tersebut adalah tidak pekun dan terdapat sekurang-kurangnya empat vektor kointegrasi untuk tempoh sebelum dan semasa krisis mata wang. Ujian sebab-akibat Granger menunjukkan yang mata wang Malaysia seolah-olah menjadi penyebab yang signifikan ke atas mata wang ASEAN yang lain. Walau bagaimanapun, penguraian varians serta autoregresi vektor multivariat menunjukkan yang maklumat lepas mengenai setiap mata wang banyak menyumbang terhadap kesilapan ramalan masing-masing.


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