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Long memory features and relationship stability of Asia-Pacific currencies against USD

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Sankarkumar A. V., Selvam M., Maniam B., Sigo M. O.

Business and Economic Horizons

2017

vol. Volume 13

issue Issue 1

97-109

This research study examines the behavior of currency rate, long memory features, and long-term stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent co-integration model, and figures to investigate the normality, stationarity, long memory features, and long-term relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.

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1 Business and Economic Horizons

1 2017

1 Maniam B.

1 Sankarkumar A. V.

1 Selvam M.

1 Sigo M. O.

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Long memory features and relationship stability of Asia-Pacific currencies against USD