The Long-Run Real Effective Exchange Rate of Singapore: A Behavioural Approach.
Abstract
In this paper we use the behavioural equilibrium exchange rate (BEER) approach to identify a long-run equilibrium exchange rate for the real effective exchange rate of Singapore. We demonstrate that a well-founded measure of the equilibrium value of this country's exchange rate may be recovered from a relatively small set of fundamental variables and that this can be used to produce an assessment of the currency in terms of periods of misalignment. Using this relationship, the behavioural equilibrium exchange rate was estimated and it showed that, on average, there was an undervaluation of the currency in the post-1998 period. Nevertheless, the currency was close to its equilibrium in the final sample period (2003Q2), a finding confirmed by our estimates derived from the permanent equilibrium exchange rate (PEER).
Related Publications
-
Staff PapersPublished Date: 11 February 2020
Cyber Risk Surveillance: A Case Study of Singapore
MAS Staff Paper No. 57, February 2020 - By Joseph Goh, Heedon Kang, Zhi Xing Koh, Jin Way Lim, Cheng Wei Ng, Galen Sher, and Chris Yao
-
Staff PapersPublished Date: 07 November 2019
Effects of Dark Trading on Liquidity of Singapore Equity Market
MAS Staff Paper No. 56, November 2019 - By Chioh Wenn Sheng, Chua Bing Kiat, Andrew Ang, Fan Jia Rong and Brandon Sim
-
Staff PapersPublished Date: 31 January 2017
Empirical Evidence on “Systemic as a Herd”: The Case of Japanese Regional Banks
MAS Staff Paper No. 55, January 2017 - By Naohisa Hirakata, Yosuke Kido, and Jie Liang Thum