| Summary: | This study to testing of International Fisher Effect in ASEAN countries
was aimed to test the International Fisher Effect in ASEAN countries hold on a
long term or short term with the tendency of the nominal interest rate differential
offset changes in currency exchange rates. Another aim is to test the International
Fisher Effect by the close relationship on a long term between nominal interest
rate differential in the ASEAN countries and the United States of America with
changes in currency exchange rates of ASEAN countries against the U.S.dollar.
Research conducted a study limited to the ASEAN countries are
represented by the state of Indonesia, Singapore, and Malaysia with the
comparison countries, namely the United States of America. Data used in this
study is the data monthly nominal interest rate and the monthly nominal exchange
rate against the U.S. dollar for 12 years from January 2000 until December 2011.
Engel Granger method with steps, test stationarity of data with the Augmented
Dickey-Fuller test, Engel Granger cointegration test, and Error Correction Model
test (ECM) used in this study to test the hypothesis.
The results suggest the hypothesis that there is nominal interest rate
differential between the ASEAN countries are represented Indonesia, Singapore,
and Malaysia to the United States offset changes in currency exchange rates is
not proven. Another hypothesis is proven that there is a close relationship the
long-term between nominal interest rate differential with changes in currency
exchange rates as between the two variables tested cointegration occurs.
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