Macroeconomic determinants of exchange rates: An ASEAN perspective

Goh, Mei Lee (2014) Macroeconomic determinants of exchange rates: An ASEAN perspective. Masters thesis, Multimedia University.

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Abstract

This study has been conducted with the motivation to form and present a macroeconomics exchange rate model that can explain well the exchange rate movements in ASEAN emerging countries by using both parity and non-parity macroeconomics variables. The purpose of using both parity and non-parity variables was to verify if there were some other non-parity macroeconomic factors that could drive the exchange rate changes besides the traditional view of parity variables. With this, twelve macroeconomics variables which includes parity variables: inflation differential, interest rate differential; and non-parity variables: money expansion, productivity, terms of trade, net foreign assets, trade balance, trade openness, total reserves, external debt, government budget balance and world crude oil price, have been proposed as the determinants of the exchange rate of ASEAN countries in this study. Meanwhile, nominal exchange rate (NER) and nominal effective exchange rate (NEER) were employed to represent the exchange rate variable in the study. Then, the multiple regression analysis with ordinary least square test (OLS) was carried out to identify the relationships between the twelve variables proposed with the exchange rate of selected ASEAN countries (Indonesia, Malaysia, Philippines, Singapore and Thailand) in short-term and long-term. Meanwhile, the OLS tests have been conducted using sampling of panel data from different lengths of years, different groups of ASEAN countries, and different sets of variables during the regression tests due to the limitation of data problem.

Item Type: Thesis (Masters)
Additional Information: Call No.: HB172.5 G64 2014
Subjects: H Social Sciences > HB Economic theory. Demography
H Social Sciences > HB Economic theory. Demography > HB172.5 Macroeconomics
Divisions: Faculty of Management (FOM) > MBA Programme
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 11 Aug 2014 07:41
Last Modified: 30 Jun 2015 04:09
URI: http://shdl.mmu.edu.my/id/eprint/5660

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