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首页> 外文期刊>Asian Economic and Financial Review >An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen
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An ARDL Analysis Of The Exchange Rates Principal Determinants: ASEAN-5 Aligned with The Yen

机译：汇率主要决定因素的ASDL分析：ASEAN-5与日元汇率一致

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摘要

This study examines an empirical analysis of long-run and short-run forcing variables of purchasing power parity (PPP) for ASEAN-5 currencies: Malaysian Ringgit, Indonesian Rupiah, the Philippines Peso, Thailand Bath, and Singapore Dollar, against the Japanese Yen, i.e., their real exchange rate (RER). This study uses a recently developed autoregressive distributed lag (ARDL) approach to co-integration (Pesaran et al., 2001) over the period 1991:Q1 – 2006:Q2. Our empirical results point out that the domestic money supply (M1) is the significant long run forcing variable of PPP for ASEAN-5 RER’s for the study periods. However, in the short- run the impact of variables have different impact during the sub-periods and full period for ASEAN-5 countries, the results suggest that the domestic money supply (M1) for Malaysia, Indonesia, Philippines ,and Singapore respectively, , have the highest significant short run forcing variable of PPP for countries RER’s. However, foreign interest rates followed by domestic money supply are the short-run forcing variables for Thailand’s RER. This may be due to the peculiarity of Thailand government’s management of the Asian Financial Crisis (AFC).
机译：这项研究检验了东盟5货币的长期和短期购买力平价（PPP）强迫变量的经验分析：马来西亚林吉特，印尼盾，菲律宾比索，泰国浴和新加坡元对日元，即它们的实际汇率（RER）。这项研究使用了最近开发的自回归分布滞后（ARDL）方法进行1991：Q1 – 2006：Q2期间的协整（Pesaran等，2001）。我们的经验结果指出，在研究期内，国内货币供应量（M1）是ASEAN-5 RER的PPP长期重要的强迫变量。但是，从短期来看，变量的影响在东盟五国的次时期和整个时期内有不同的影响，结果表明，马来西亚，印度尼西亚，菲律宾和新加坡的国内货币供应量（M1）分别为对于国家RER而言，具有最高的PPP短期强制性变量最高。但是，外国利率加上国内货币供应是泰国RER的短期强迫变量。这可能是由于泰国政府管理亚洲金融危机（AFC）的特殊性。

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