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Exchange rate determination: market models and empirical evidence for the 1990-2000 period from emerging financial markets – the case of Indonesia

Rusydi, Mohammad and Islam, Sardar M. N (2010) Exchange rate determination: market models and empirical evidence for the 1990-2000 period from emerging financial markets – the case of Indonesia. International Journal of Monetary Economics and Finance, 3 (2). pp. 159-176. ISSN 1752-0479 (print) 1752-0487 (online)

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Abstract

In order to test, empirically, the well known financial and economic exchange rate models to examine the exchange rate behaviour and its determinants in Indonesia, a number of econometric methods are used. Univariate time series models like exponential smoothing and autoregressive integrated moving average models, as well as the Augmented Dickey-Fueller method are used. In general, the Monetary model has been the preferred model since the end of the Breton Woods period. On the contrary, with the PPP model, there are many reasons why deviations from PPP happen. However, empirical tests of the well known financial and economic exchange rate models in this paper show that neither the monetary model nor the PPP model can explain the exchange rate behaviour and its determinants in Indonesia.

Item Type: Article
Uncontrolled Keywords: ResPubID20521, exchange rate determination, exchange rates, market models, Engle-Granger cointegration test, augmented Dickey-Fuller unit root tests, Indonesia, emerging markets
Subjects: Faculty/School/Research Centre/Department > Centre for Strategic Economic Studies (CSES)
FOR Classification > 1402 Applied Economics
SEO Classification > 9002 Property, Business Support Services and Trade
Related URLs:
Depositing User: VUIR
Date Deposited: 04 Jun 2012 04:22
Last Modified: 25 Jun 2012 03:15
URI: http://vuir.vu.edu.au/id/eprint/7288
DOI: 10.1504/IJMEF.2010.031235
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