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Financial crisis and exchange rates in emerging economies: An empirical analysis using PPP-UIP-Framework

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  • Abdul Rashid

    (International Institute of Islamic Economics (IIIE), Islamabad, Pakistan Author-Name: Mashael Bin Saedan
    Dar al Uloom University, Riyadh, Saudi Arabia)

Abstract

This paper empirically investigates the effects of 2008 financial crisis on exchange rate determination in PPP-UIP framework for four emerging countries, using monthly date over the period 1981-2012. The results suggest that the recent financial crisis led to change the role of exchange rate determinants in exchange rate determination. The findings also reveal that the effects of financial crisis on the exchange rate are different in all the four emerging economies. The findings of the study are of significant for policy makers in designing effective policies in order to reduce the effects of financial crisis on exchange rates.

Suggested Citation

  • Abdul Rashid, 2014. "Financial crisis and exchange rates in emerging economies: An empirical analysis using PPP-UIP-Framework," Business and Economic Horizons (BEH), Prague Development Center, vol. 9(4), pages 86-96, January.
    • Handle: RePEc:pdc:jrnbeh:v:9:y:2014:i:4:p:86-96
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    References listed on IDEAS

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    9. Abdul RASHID, 2009. "Testing The Modified-Combined Ppp And Uip Hypothesis In South Asian Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    10. Douglas Wong & Kui-Wai Li, 2010. "Comparing the performance of relative stock return differential and real exchange rate in two financial crises," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 137-150.
    11. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
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    Cited by:

    1. Sushil Kumar Rai & Akhilesh Kumar Sharma, 2023. "Forecasting Exchange Rate Volatility In India Under Univariate And Multivariate Analysis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 175-190, March.

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    More about this item

    Keywords

    Exchange rates; financial crisis; PPP; UIP; emerging economies;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • F29 - International Economics - - International Factor Movements and International Business - - - Other
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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