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Japanese Yen as as Alternative Vehicle Currency in Asian

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Author Info
M., Azali
R.C., Royfaizal
C., Lee

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Abstract

Members of Asian countries have been thinking about using others’ currencies instead of U.S. Dollar for regional trade. Hence, there is a strong case to study the Japanese Yen as an alternative hard currency in this region for trade transaction. This paper investigates the long-run co-integration to determine the possibility and feasibility to use Yen as a future vehicle currency in the Asian region namely Malaysia, Singapore, Thailand, Indonesia, the Philippines, China, Korea and India by examining their daily exchange rate movements denominated in Yen. Empirical evidence shows that four out of eight countries namely Malaysia, the Philippines, Singapore and Korea are the countries that support our hypothesis.

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File URL: http://mpra.ub.uni-muenchen.de/11891/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11891.

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Date of creation: 2008
Date of revision: 2008
Handle: RePEc:pra:mprapa:11891

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Related research
Keywords: Exchange Rate; Cointegration; Granger-causality; Asian;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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References listed on IDEAS
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  1. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  2. Aggarwal, Raj & Mougoue, Mbodja, 1993. "Cointegration among Southeast Asian and Japanese currencies: Preliminary evidence of a Yen bloc?," Economics Letters, Elsevier, vol. 41(2), pages 161-166. [Downloadable!] (restricted)
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  4. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July. [Downloadable!] (restricted)
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
  6. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)
  7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  8. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September. [Downloadable!] (restricted)
  9. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March. [Downloadable!] (restricted)
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