This paper is to analyze characteristics of the foreign exchange market in four major East Asian countries (Korea, Thailand, Singapore and Japan) before and after the financial crisis to get implicatoins of it. Our focus is given on the relationship between exchange rate volatilities and risk premium on the selected countries. The crisis-hit countries in the region including Korean and Thailand show structural break during the Asian crisis in representing higher standard deviations on nominal exchange rates since 1997. However, it is argued that they returned to the previous rigid exchange movements due to a fear of floating. Nevertheless, it is believed that the exchange rate arrangements in crisis-hit countries differ from the previous psedo-dollar pegged system.
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Publisher Info
Paper provided by East Asian Bureau of Economic Research in its series Macroeconomics Working Papers with number
122.
Length: 55 pages Date of creation: Oct 2004 Date of revision: Handle: RePEc:eab:macroe:122
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