TY  - CHAP
AB  - Abstract For the past decades, issues concerning the impact of economic integration on financial integration, especially exchange rate integration, has been criticized among several regions such as ASEAN. This chapter intends to: (i) test for the exchange rate integration among the ASEAN-5, including Indonesia, Philippines, Malaysia, Singapore, and Thailand, using panel data techniques; and (ii) determine the impact of economic integration on the level of exchange rate integration among the ASEAN-5 countries. The purchasing power parity (PPP) is tested using panel unit root tests on monthly data. The results confirm the PPP among the ASEAN-5 countries due to lower transaction costs from ASEAN agreements. The chapter applies Multivariate GARCH (M-GARCH) models using daily data to determine the level of exchange rate integration among the ASEAN-3, including Malaysia, Singapore, and Thailand. The results of panel cointegration tests using quarterly data of economic integration and exchange rate integration confirm the impact of international trade openness on exchange rate integration. With free trade agreements leading to lower trade barriers, lower transaction costs, and low transportation costs, the economic integration among ASEAN countries practically leads to a higher degree of exchange rate integration. The findings imply that trade liberalization has the strongest effect on the real exchange rate. As such, regulators of ASEAN countries should pay more attention to the exchange rate policies of each other because of the interdependence of their exchange rates.
VL  - 25
SN  - 978-1-78756-453-4, 978-1-78756-454-1/1571-0386
DO  - 10.1108/S1571-038620180000025002
UR  - https://doi.org/10.1108/S1571-038620180000025002
AU  - Jantarakolica Tatre
AU  - Jantarakolica Korbkul
PY  - 2018
Y1  - 2018/01/01
TI  - ASEAN-5 Economic and Exchange Rate Integration
T2  - Banking and Finance Issues in Emerging Markets
T3  - International Symposia in Economic Theory and Econometrics
PB  - Emerald Publishing Limited
SP  - 9
EP  - 30
Y2  - 2024/04/24
ER  -