| Popis: |
This paper aim to empirically investigate the dynamic linkages of ASEAN-5 currencies market pre-and during COVID-19. The study started with Structural VAR by imposing structure to the regional exchange rates, followed by co-integration and Error Correction Model (VECM) within the VAR framework to capture the dynamic linkages of regional currencies. There are three main findings from this study. First, there is one co-integration relationship in both periods. Second, prior to the COVID -19, only Indonesia Rupiah that is statistically significant in bringing the exchange rate back to its long run path by 0.31% adjustment. The speed of adjustments back to this long run equilibrium is about 10 months. Third, the value of ECTs across all the countries were larger during COVID -19 implying to an extent there are some degree of intervention in an individual country. However, only Singapore Dollar and Indonesian Rupiah’s ECT are statistically significant in bringing their currencies back to the regional long run equilibrium. In other words, when there is any disequilibrium during the COVID -19, 57.32% and 67.67% of disequilibrium adjustment respectively come from Singapore Dollar and Indonesian Rupiah, correction takes about 2 days. This study add value to as to the first to investigate the subtleties movement of ASEAN-5 currencies during the recent COVID -19 pandemic. |
