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Exchange rate and interest rate differential : a conundrum re-examined via wavelet analysis
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Dhamotharan, Lalitha, Ismail, Mohd Tahir, Ignatius, Joshua and Pengxiang, Xue (2015) Exchange rate and interest rate differential : a conundrum re-examined via wavelet analysis. In: Wavelet Analysis and Pattern Recognition (ICWAPR), 2015 International Conference on, Guangzhou, China, 12-15 July 2015 pp. 75-80. ISBN 9781467372244. doi:10.1109/ICWAPR.2015.7295929 ISSN 2158-5695.
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Official URL: https://doi.org/10.1109/ICWAPR.2015.7295929
Abstract
This study explores modeling exchange rate by infusing conventional with unconventional techniques. To exemplify the practicality of wavelet analysis with an empirical application, the causal nexus between real exchange rate and real interest rate differential was examined in Singapore (vis-à-vis the US) via a novel approach known as the maximal overlap discrete wavelet transform during the period of 1990 to 2013. The key empirical finding from the causality test reveals the reinforcing evidence between the variables in the long-term. The time-scale decomposition of the series by wavelet analysis is vital when deciphering complex nonlinear economic models that otherwise remain equivocal when using conventional econometric methods.
Item Type: | Conference Item (Paper) | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Engineering > Engineering | ||||
Publisher: | IEEE | ||||
ISBN: | 9781467372244 | ||||
ISSN: | 2158-5695 | ||||
Official Date: | 2015 | ||||
Dates: |
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Page Range: | pp. 75-80 | ||||
DOI: | 10.1109/ICWAPR.2015.7295929 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Wavelet Analysis and Pattern Recognition (ICWAPR), 2015 International Conference on | ||||
Type of Event: | Conference | ||||
Location of Event: | Guangzhou, China | ||||
Date(s) of Event: | 12-15 July 2015 |
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