The Effect of the Asian Financial Crisis on Exchange Rate Volatility, Export, Import and Productivity among Asian Countries

[[abstract]]This study investigates the Asian financial crisis effect for Taiwan, Korea, Malaysia, and Indonesia. Cointegration test shows no change for the long-run equilibrium relationship among these variables through crisis. Granger causality finds that some exogeneity orderings alter from pre- to post-crisis period for countries considered. Impulse response functions (IRs) for pre-crisis period demonstrate an important role of productivity, then export. For post-crisis period, oscillatory paths around zero of the IRs imply an ambiguous finding for the direction of effect and relative exogeneity among variables studied. Finally, the variance decompositions in export for Taiwan, Korea and Malaysia, and in productivity for Malaysia and Indonesia did not change from pre-crisis to post -crisis era. Most of the rest forecast error variances in variables were decomposed into their own innovation more proportional in pre-crisis period than in post-crisis period, which is supported by Vector error correction model that all variables were strongly affected by their own past information.[[sponsorship]]元智大學管理學院[[conferencetype]]國際[[conferencedate]]20000313~20000313[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]臺北市, 臺