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Currency Linkages among ASEAN

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  • Chin, Lee
  • Azali, M

Abstract

The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of Singapore dollar bloc during the pre- and post crisis periods by using Johansen multivariate cointegration test and Granger causality test. Significant non-stationarity, and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against Singapore dollar, Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period, however there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but ASEAN countries are financially more integrated after the crisis. This finding also indicated the increasingly important role of the Singapore dollar in ASEAN. Therefore, Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding US dollar to the model. The finding ascertains the influence of US dollar on ASEAN currencies before the crisis.

Suggested Citation

  • Chin, Lee & Azali, M, 2010. "Currency Linkages among ASEAN," MPRA Paper 121420, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:121420
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    References listed on IDEAS

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    Cited by:

    1. Lee, Pei-Ling & Chin, Lee & Law, Siong Hook & Azman-Saini, W.N.W., 2019. "Analysing the Effect of Portfolio Concentration Index and Stock Market Correlation," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(2), pages 165-176.
    2. Marinakis, Yorgos D. & White, Reilly & Walsh, Steven T., 2020. "Lotka–Volterra signals in ASEAN currency exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    3. Lee, Chin & M., Azali, 2013. "Financial Integration among ASEAN+3 Countries: Evidence from Exchange Rates," MPRA Paper 58162, University Library of Munich, Germany.
    4. Liu, Clark & Wang, Ben Zhe & Wang, Huanhuan & Zhang, Ji, 2019. "What drives fluctuations in exchange rate growth in emerging markets – A multi-level dynamic factor approach," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    5. Ain Shahrier, Nur, 2022. "Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    6. Wong, KKS & Chin, Lee & Azali, M, 2015. "Yen Synchronization among ASEAN-5, Korea and Japan: Evidence from The Multivariate GARCH Model," MPRA Paper 96863, University Library of Munich, Germany.

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    More about this item

    Keywords

    Exchange Rate; Cointegration; Granger-causality; ASEAN;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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