Exchange rate equilibrium and fundamentals in Asia-Pacific countries

S. F H Catherine, Mohamed Ariff

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This paper provides new findings that extend the literature by investigating the time to equilibrium for price changes to catch up with exchange rate and the contribution of non-parity fundamentals in exchange-rate dynamics in a trade-related multi-country framework. It reports new findings on exchange behaviour by expanding the parity variables to include other theory-suggested variables with high and low-frequency multi-country panel regression analysis, and Divisia Index Model. Our findings indicate that exchange rates are affected by growth rates, capital and balanceof- payment flows, fiscal, monetary and other fundamentals. This study also confirms that long-run PPP equilibrium for a group of Asia Pacific countries is five years. These key findings are robust across different time intervals.

Original languageEnglish
Pages (from-to)117-146
Number of pages30
JournalAsian Journal of Business and Accounting
Volume1
Issue number2
Publication statusPublished - 2008

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Asia-Pacific
Equilibrium exchange rate
Exchange rates
Index model
Parity
Exchange rate dynamics
Divisia index
Catch-up
Fiscal
Panel regression analysis
Payment
Price changes

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Catherine, S. F H ; Ariff, Mohamed. / Exchange rate equilibrium and fundamentals in Asia-Pacific countries. In: Asian Journal of Business and Accounting. 2008 ; Vol. 1, No. 2. pp. 117-146.
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Exchange rate equilibrium and fundamentals in Asia-Pacific countries. / Catherine, S. F H; Ariff, Mohamed.

In: Asian Journal of Business and Accounting, Vol. 1, No. 2, 2008, p. 117-146.

Research output: Contribution to journalArticleResearchpeer-review

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