In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region
AbstractThis paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from 1995 to 2004. It finds strong regional foreign exchange dependency, varying from 32 to 73 percent. This network of markets is highly correlated, with shocks to one reverberating throughout the region. Despite the linkages of the Chinese exchange rate to the United States dollar, the Chinese foreign exchange is not as independent with respect to its South-Asian neighbors as previously thought.
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Bibliographic InfoPaper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 07-019.
Length: 24 pages
Date of creation: 01 Jul 2007
Date of revision:
: Exchange rates; Asian- Pacific region; Australia; China; Indonesia; Japan; Malaysia; New Zealand; Philippines; South Korea; Singapore; Taiwan; Thailand; Vietnam; Correlograms; Impulse Responses; Variance Decompositions; Interdependence;
Find related papers by JEL classification:
- F0 - International Economics - - General
- F3 - International Economics - - International Finance
- G0 - Financial Economics - - General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- P0 - Economic Systems - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-20 (All new papers)
- NEP-CBA-2007-07-20 (Central Banking)
- NEP-CNA-2007-07-20 (China)
- NEP-IFN-2007-07-20 (International Finance)
- NEP-MAC-2007-07-20 (Macroeconomics)
- NEP-MON-2007-07-20 (Monetary Economics)
- NEP-RMG-2007-07-20 (Risk Management)
- NEP-SEA-2007-07-20 (South East Asia)
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