Dynamic interdependence of the Indonesian Rupiah with the ASEAN and the world largest Forex markets
This study empirically investigates the dynamic interdependencies of the Indonesian Rupiah (IDR) with the ASEAN, European, and Japanese forex markets. Using daily nominal exchange rates of Indonesia, Thailand, Malaysia, Singapore, the Philippines, Europe, and Japan spanning from January 1, 2008 to...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/19624/1/jeko_521-5.pdf http://journalarticle.ukm.my/19624/ https://www.ukm.my/jem/issue/v52i1/ |
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| Summary: | This study empirically investigates the dynamic interdependencies of the Indonesian Rupiah (IDR) with the ASEAN,
European, and Japanese forex markets. Using daily nominal exchange rates of Indonesia, Thailand, Malaysia,
Singapore, the Philippines, Europe, and Japan spanning from January 1, 2008 to December 31, 2015, the study employs
the impulse response functions and variance decomposition analysis based on the vector autoregression method. The
study documented that the IDR more responded to innovations in the forex market of Singapore as compared to other
ASEAN forex markets. Additionally, the ASEAN forex markets were more interdependence with the forex markets of Japan
rather than Europe. Since the forex markets become more interdependent both regionally and internationally, thus it
needs for policy coordination among the countries to mitigate the impact of forex fluctuations if these countries are to
grasp the benefits of greater forex markets’ interdependence. |
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