WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 12, 2015
Stability in ASEAN+3 Exchange Markets: An EGARCH-M Approach
Authors: Md. Saifur Rahman, Farihana Shahari
Abstract: This paper empirically investigates the advancement of exchange markets’ stability and comovement after the ASEAN+3 financial cooperation agreement. The study employs EGARCH-in-mean approach and uses daily exchange rates. The findings indicate that: 1) the exchange market volatility is resulted from regional markets’ shocks during both of pre and post-agreement periods, 2) the ASEAN+3 exchange markets progressed substantial development during post-agreement, 3) both of high and low income economies are improving the exchange market stability in a cooperative way regardless of income level, and 4) the overall impact of ASEAN+3 financial cooperation leads to stabilize the regional exchange markets.