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Granger Causality Among Pre-Crisis East Asian Exchange Rates

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  • Joseph D. ALBA
  • Donghyun PARK

Abstract

We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gau’s (1997) “official band†model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our findings provide some empirical support for the presence of systematic relationships that are consistent with the contagious nature of the Asian crisis

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File URL: http://repec.org/esFEAM04/up.18551.1080711410.pdf
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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 697.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:697

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Keywords: Causality; exchange rate; East Asia; contagion; crisis;

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  1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  2. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
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