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The cointegration of Asian currencies revisited

  • Tse, Y. K.
  • Ng, L. K.

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File URL: http://www.sciencedirect.com/science/article/B6VF1-3SWYBWM-C/2/f365c161c29c898612ab29780fe6d4a0
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Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 9 (1997)
Issue (Month): 1 (March)
Pages: 109-114

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Handle: RePEc:eee:japwor:v:9:y:1997:i:1:p:109-114
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505557

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  1. Jeffrey A. Frankel., 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," Center for International and Development Economics Research (CIDER) Working Papers C93-007, University of California at Berkeley.
  2. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
  3. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
  4. 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.
  5. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-35, June.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  7. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
  8. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  9. Shin-ichi Fukuda, 1995. "The Structural Determinants of Invoice Currencies in Japan: The Case of Foreign Trades with East Asian Countries," Discussion Paper Series a307, Institute of Economic Research, Hitotsubashi University.
  10. Melvin, Michael & Peiers, Bettina, 1993. "On the possibility of a yen currency bloc for Pacific-Basin countries: A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 1(4), pages 309-333, December.
  11. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
  12. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December.
  13. Kim, Duk-Choong, 1992. "Open Regionalism in the Pacific: A World of Trading Blocs?," American Economic Review, American Economic Association, vol. 82(2), pages 79-83, May.
  14. Alexander, CO & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 10/92, Department of Economics, University of Sussex.
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