Exchange rate misalignments in ASEAN-5 countries

Lee, Chin and M., Azali (2005): Exchange rate misalignments in ASEAN-5 countries. Published in: Labuan Bulletin of International Business & Finance , Vol. 3, No. 1 (2005): pp. 11-31.

Abstract

The purpose of this paper is to estimate the exchange rate misalignments for Indonesia, Malaysia, Philippines, Singapore and Thailand before the currency crisis. By employing the sticky-price monetary exchange rate model in the environment of vector error-correction, the results indicate that the Indonesia rupiah, Malaysian ringgit, Philippines peso and Singapore dollar were overvalued before the currency crisis while Thai baht was undervalued on the eve of the crisis. However, they suffered modest misalignment. Therefore, little evidence of exchange misalignment is found to exist in 1997:2. In particular, Indonesia rupiah, Malaysia ringgit, Philippines peso and Singapore dollar were only overvalued about 1 to 4 percent against US dollar while the Thai baht was only 2 percent undervalued against US dollar.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange Rate Misalignment, Monetary Model, Vector Error-Correction
• Subjects: E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F3 - International Finance > F33 - International Monetary Arrangements and Institutions; F - International Economics > F3 - International Finance > F37 - International Finance Forecasting and Simulation: Models and Applications; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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