Rethinking the exchange rate disconnect puzzle theory in ASEAN-6
The theory of the exchange rate disconnect puzzle provides evidence of the instability of exchange rate relationship with macroeconomic fundamentals. This study will analyse the enactment of the theory of the exchange rate disconnect puzzle with the macroeconomic fundamental phenomenon in affecting the exchange rate movements in the ASEAN-6. The method of analysis Generalized Method of Moment (GMM) with panel data is used to provide an explanation for the existence of the theory of the exchange rate puzzle disconnect. Results the analysis showed the relationship between macroeconomic fundamentals through proxies of the monetary approach affect to exchange rate movements in the ASEAN-6.
Anggarwal, S. (2013). The uncovered interest parity puzzle in the foreign exchange market. United State: New York University.
Arellano, M., & Bond, S. (1991). Some tests of speculation for panel data: Monte Carlo evidence and an application to employment equations. Review of Economics Studies. 58(2), 277-297.
Chen, S.S., & Chou, Y.H. (2015). Revisiting the relationship between exchange rate and fundamentals. Journal of Macroeconomics, 46, 1-22.
Metrics powered by PLOS ALM
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Center for Economics Studies, Faculty of Economics,
Universitas Islam Indonesia, Yogyakarta.
EJEM by http://journal.uii.ac.id/index.php/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.