Title: The time series modelling on exchange rate and inflation rate: finite normal mixture model

Authors: Shi Ling Khek; Seuk Yen Phoong

Addresses: Department of Mathematics, Faculty Science and Mathematics, Universiti Pendidikan Sultan Idris, 35900, Tanjong Malim, Perak, Malaysia ' Department of Mathematics, Faculty Science and Mathematics, Universiti Pendidikan Sultan Idris, 35900, Tanjong Malim, Perak, Malaysia

Abstract: The economic growth of developing countries always a central issue concerned by all countries because any changes in global events might influence the performance of these countries. However, there are many debates on the relations between exchange rate and inflation rate in developing countries. In present study, finite mixture model is introduced to address the nexus between exchange rate and inflation rate among Malaysia, Thailand and the Philippines. With this, the monthly data with 182 observations are analysed using maximum likelihood estimation. The results reveal that negative relationship existed during growth situation while no interaction exhibited when a country is trapped into crisis period. Since this study presented the financial interaction among macroeconomic variables during different situations of country, hence, it is believed that statisticians and investors can get to know more details of these variables on these developing countries.

Keywords: finite mixture model; maximum likelihood estimation; nonlinear time series analysis; Asian developing countries; exchange rate; inflation rate.

DOI: 10.1504/IJCSM.2023.135043

International Journal of Computing Science and Mathematics, 2023 Vol.18 No.4, pp.312 - 325

Accepted: 07 Mar 2023
Published online: 28 Nov 2023 *

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