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Post-Crisis Exchange Rate Regimes In Asean: A New Empirical Test Based On Intra-Daily Data

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  • SHIN-ICHI FUKUDA

    (Faculty of Economics, University of Tokyo, 7-3-1, Hongo Bunkyo-ku, Tokyo 113-0033, Japan)

  • SANAE OHNO

    (Faculty of Economics, Musashi University, 1-26-1, Toyotamaue, Toshima-ku, Tokyo 176-8534, Japan)

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 numéraire may cause. It also contrasts exchange rates when official intervention is active with those when it is not active. We find significant structural breaks in the correlations when the East Asian market is open, which suggest strong monetary and real linkages among the ASEAN countries.

Suggested Citation

  • Shin-Ichi Fukuda & Sanae Ohno, 2008. "Post-Crisis Exchange Rate Regimes In Asean: A New Empirical Test Based On Intra-Daily Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 53(02), pages 191-213.
    • Handle: RePEc:wsi:serxxx:v:53:y:2008:i:02:n:s0217590808002902
    DOI: 10.1142/S0217590808002902
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    3. Ohno, Sanae & Shimizu, Junko, 2015. "Do exchange rate arrangements and capital controls influence international capital flows and housing prices in Asia?," Journal of Asian Economics, Elsevier, vol. 39(C), pages 1-18.
    4. Shin-ichi Fukuda & Mariko Tanaka, 2017. "The Impacts of Emerging Asia on Global Financial Markets," CIRJE F-Series CIRJE-F-1050, CIRJE, Faculty of Economics, University of Tokyo.
    5. Kim, Bong-Han & Min, Hong-Ghi & McDonald, Judy & Hwang, Young-Soon, 2012. "Yen-synchronization of floating East Asian currencies: A regime-switching regression model and micro-structural analysis," Journal of the Japanese and International Economies, Elsevier, vol. 26(2), pages 221-232.

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