Econometric Analysis of the Determinants of Real Effective Exchange Rate in the Emerging ASEAN Countries

• 발행기관: 한국유통과학회
• 저자명: Saranya RAKSONG Benchamaphorn SOMBATTHIRA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 731~740쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This research aims to investigate the determinants of real effective exchange rate in emerging ASEAN countries, including Indonesia, Malaysia, Philippines, Thailand, and Vietnam. The research was conducted by using quarterly time series data set from 1980Q1 to 2020Q3. Cointegration and the error correction model (ECM) methods were applied to test the long run and short run relationship of the real effective exchange rate and its determinants. The results indicate that the ratio of foreign direct investment to GDP and the government spending have significantly positive impact on real effective exchange rate in the Emerging ASEAN countries. The trade opening had influencing real effective exchange rate in most the Emerging ASEAN countries, except Vietnam. In addition, the international reserve (INR) had significant long-run impacts variables on real effective exchange rate in Malaysia, Thailand and Vietnam. In the short run equilibrium, the error collection term suggest that Indonesia and Malaysia are the fastest speed adjustment to equilibrium. In addition, the term of trade influence the real effective exchange rate in Indonesia, Malaysia, and the Philippines but it is not in Thailand and Vietnam. However, FDI is a major factor of the real effective exchange rate in Vietnam, but not for other countries.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Empirical Results and Discussion

5. Conclusions

References

키워드

Econometric Real Effective Exchange Emerging Economies ASEAN