The Empirical Relationship between Exchange Rates and Interest Rates in Post-Crisis Asia

• Main Authors: Chow, Hwee Kwan, KIM, Yoonbai
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Exchange rate; interest rate; bivariate VAR-GARCH model; causation in volatilities; Asian Studies; Finance; International Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/785; https://ink.library.smu.edu.sg/context/soe_research/article/1784/viewcontent/HweeKwanCHOW.pdf
• Institution: Singapore Management University

In post-crisis Asia, all crisis-hit countries (except Malaysia) announced a shift from exchange rate based monetary policy framework to the explicit adoption of inflation targeting that uses interest rates as the key monetary policy operating instrument. In this study, we examine the empirical relat...