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In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region

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  • Tomer Shachmurove

    ()
    (Social Science Computing Center, University of Pennsylvania)

  • Yochanan Shachmurove

    ()
    (Department of Economics, University of Pennsylvania and The City College of The City University of New York)

Abstract

This 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 Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 07-019.

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Length: 24 pages
Date of creation: 01 Jul 2007
Date of revision:
Handle: RePEc:pen:papers:07-019

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Keywords: : 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;

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  1. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
  2. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  3. Yochanan Shachmurove, . "Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets," Penn CARESS Working Papers e5ba8f857b7ab5742bd6c3467, Penn Economics Department.
  4. Soyoung Kim & Sunghyun Henry Kim & Yunjong Wang, 2004. "Macroeconomic Effects of Capital Account Liberalization: the Case of Korea," Review of Development Economics, Wiley Blackwell, vol. 8(4), pages 624-639, November.
  5. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277.
  6. E. Ray Canterbery, 1984. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 7(1), pages 4-6, October.
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