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The cointegration of Asian currencies revisited

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  • Tse, Y. K.
  • Ng, L. K.

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  • 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.
  • Handle: RePEc:eee:japwor:v:9:y:1997:i:1:p:109-114
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    References listed on IDEAS

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    1. Jeffrey A. Frankel, 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," NBER Chapters,in: Regionalism and Rivalry: Japan and the United States in Pacific Asia, pages 53-88 National Bureau of Economic Research, Inc.
    2. Alexander, CO & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 10/92, Department of Economics, University of Sussex Business School.
    3. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    4. 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.
    5. Shin-ichi Fukuda, 1996. "The Structural Determinants of Invoice Currencies in Japan: The Case of Foreign Trade with East Asian Countries," NBER Chapters,in: Financial Deregulation and Integration in East Asia, NBER-EASE Volume 5, pages 147-165 National Bureau of Economic Research, Inc.
    6. 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.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    8. 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.
    9. 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 167-181, March.
    10. 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.
    11. 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.
    12. 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.
    13. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
    14. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.
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    Cited by:

    1. Aggarwal, Raj & Muckley, Cal B., 2010. "Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 149-165, April.
    2. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 331-350, September.
    3. Kearney, Colm & Muckley, Cal, 2008. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 870-885, December.
    4. Lee, Chin & M., Azali, 2013. "Financial Integration among ASEAN+3 Countries: Evidence from Exchange Rates," MPRA Paper 58162, University Library of Munich, Germany.
    5. Kim, Bong-Han & Kim, Hyeongwoo & Min, Hong-Ghi, 2013. "Reassessing the link between the Japanese yen and emerging Asian currencies," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 306-326.
    6. Azali, M. & Royfaizal, R.C. & Lee, C., 2008. "Japanese Yen as an alternative vehicle currency in Asian," MPRA Paper 11891, University Library of Munich, Germany, revised 2008.
    7. Aggarwal, Raj & Montanes, Antonio & Ponz, Monserrat, 2000. "Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 351-361, December.
    8. Peter Wilson & Keen Meng Choy, 2007. "Prospects for enhanced exchange rate cooperation in East Asia: some preliminary findings from generalized PPP theory," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 981-995.
    9. Wilson, Peter, 2002. "Prospects for Asian Monetary Cooperation After the Asian Financial Crisis. Pipedream or Possible Reality?," EIJS Working Paper Series 151, Stockholm School of Economics, The European Institute of Japanese Studies.
    10. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 355-380, August.
    11. Kim, Bong-Han & Min, Hong-Ghi & McDonald, Judy & Hwang, Young-Soon, 2012. "Yen-synchronization of floating East Asian currencies: A regime-switching regression model and micro-structural analysis," Journal of the Japanese and International Economies, Elsevier, vol. 26(2), pages 221-232.
    12. Kearney, Colm & Muckley, Cal, 2007. "Reassessing the evidence of an emerging yen block in North and Southeast Asia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 255-271.
    13. AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 479-515.

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