Non-linear Exchange Rate Models Revolutionize Forecasting in ASEAN-5 Countries
The researchers studied exchange rate forecasting models for five ASEAN countries. They looked at linear and non-linear approaches using various economic factors. They found that both purchasing power parity and forward-looking monetary models can predict exchange rates accurately for up to 24 months. The study also showed that exchange rates adjust to economic factors in a non-linear and asymmetrical way, impacting policy decisions.