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Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)

The general aim of this paper is to examine the effectiveness of the Exchange Market Pressure (EMP) index in sufficiently tracing the presence of economic crises. The index was unveiled by Girton and Roper (1977) to assist policy makers in responding conclusively when severe compressions in currenc...

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Main Authors: Lau, Evan, Yong, Jenny, Paola, Pasca
Format: Article
Language:English
Published: Universita del Salento 2018
Subjects:
HG Finance
Online Access:http://ir.unimas.my/id/eprint/25345/3/Tracing.pdf
http://ir.unimas.my/id/eprint/25345/
http://siba-ese.unisalento.it/index.php/ejasa/article/view/17646/16322
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spelling my.unimas.ir.253452022-06-27T02:19:34Z http://ir.unimas.my/id/eprint/25345/ Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV) Lau, Evan Yong, Jenny Paola, Pasca HG Finance The general aim of this paper is to examine the effectiveness of the Exchange Market Pressure (EMP) index in sufficiently tracing the presence of economic crises. The index was unveiled by Girton and Roper (1977) to assist policy makers in responding conclusively when severe compressions in currencies emerge. This study provides a better acumen for how small open economies maintain and stabilize their exchange rates and keep other macroeconomic variables under control through policy responses by means of an investigation of the CLMV countries (i.e., Cambodia, Lao People’s Democratic Republic (LPDR), Myanmar and Vietnam). By computing the EMP index using the methods in Eichengreen et al. (1996), Sachs et al. (1996), and Kaminsky et al. (1998), we monitor and predict the future pace of the CLMV foreign exchange markets. Our findings reveal several EMP signals and its potential impact over the sample period. The EMP index plots also allow us to witness the quick recovery of CLMV from crises through policy responses. Findings indicate the effectiveness of the EMP index as an early warning system in detecting the market pressure on the Cambodian Riel, Laos Kip, Myanmar Kiat and Vietnam Dong especially during crises, through the different exchange rate regimes. Universita del Salento 2018 Article PeerReviewed text en http://ir.unimas.my/id/eprint/25345/3/Tracing.pdf Lau, Evan and Yong, Jenny and Paola, Pasca (2018) Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV). Electronic Journal of Applied Statistical Analysis, 11 (1). pp. 168-181. ISSN 2070-5948 http://siba-ese.unisalento.it/index.php/ejasa/article/view/17646/16322 DOI: 10.1285/i20705948v11n1p168
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HG Finance
spellingShingle HG Finance
Lau, Evan
Yong, Jenny
Paola, Pasca
Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
description The general aim of this paper is to examine the effectiveness of the Exchange Market Pressure (EMP) index in sufficiently tracing the presence of economic crises. The index was unveiled by Girton and Roper (1977) to assist policy makers in responding conclusively when severe compressions in currencies emerge. This study provides a better acumen for how small open economies maintain and stabilize their exchange rates and keep other macroeconomic variables under control through policy responses by means of an investigation of the CLMV countries (i.e., Cambodia, Lao People’s Democratic Republic (LPDR), Myanmar and Vietnam). By computing the EMP index using the methods in Eichengreen et al. (1996), Sachs et al. (1996), and Kaminsky et al. (1998), we monitor and predict the future pace of the CLMV foreign exchange markets. Our findings reveal several EMP signals and its potential impact over the sample period. The EMP index plots also allow us to witness the quick recovery of CLMV from crises through policy responses. Findings indicate the effectiveness of the EMP index as an early warning system in detecting the market pressure on the Cambodian Riel, Laos Kip, Myanmar Kiat and Vietnam Dong especially during crises, through the different exchange rate regimes.
format Article
author Lau, Evan
Yong, Jenny
Paola, Pasca
author_facet Lau, Evan
Yong, Jenny
Paola, Pasca
author_sort Lau, Evan
title Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
title_short Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
title_full Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
title_fullStr Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
title_full_unstemmed Tracing exchange rate volatility in Cambodia, Laos, Myanmar and Vietnam (CLMV)
title_sort tracing exchange rate volatility in cambodia, laos, myanmar and vietnam (clmv)
publisher Universita del Salento
publishDate 2018
url http://ir.unimas.my/id/eprint/25345/3/Tracing.pdf
http://ir.unimas.my/id/eprint/25345/
http://siba-ese.unisalento.it/index.php/ejasa/article/view/17646/16322
_version_ 1736838278053625856
score 13.211869

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