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Exchange rate systems and linkages in the pacific basin

  • Su Zhou
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    This paper analyzes the exchange rate systems of 10 Pacific Basin economies and linkages of their currencies with the major currencies. The recent advances in time series analysis, including unit root tests and cointegration tests, are utilized for this purpose. The results suggest that while many Pacific Basin developing economies are inclined to have a peg or crawling peg system and peg their currencies primarily to the U.S. dollar, the influence of the Japanese yen in this region is also strong, especially on the exchange rates of the Asian newly industrializing economies. For Australia and New Zealand, their exchange rates move in tandem. Copyright International Atlantic Economic Society 1998

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    File URL: http://hdl.handle.net/10.1007/BF02298372
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    Article provided by International Atlantic Economic Society in its journal Atlantic Economic Journal.

    Volume (Year): 26 (1998)
    Issue (Month): 1 (March)
    Pages: 66-84

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    Handle: RePEc:kap:atlecj:v:26:y:1998:i:1:p:66-84
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    1. Jeffrey A. Frankel & Shang-Jin Wei, 1992. "Yen bloc or dollar bloc: exchange rate policies of the East Asian economies," Pacific Basin Working Paper Series 93-01, Federal Reserve Bank of San Francisco.
    2. Yusuru Ozeki & George S. Tavlas, 1992. "The Internationalization of Currencies; An Appraisal of the Japanese Yen," IMF Occasional Papers 90, International Monetary Fund.
    3. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
    4. 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.
    5. 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.
    6. Tavlas, G.S., 1991. "On the International Use of Currencies: the Case of the Deutsche Mark," Princeton Studies in International Economics 181, International Economics Section, Departement of Economics Princeton University,.
    7. Takatoshi Ito, 2000. "Capital Flows in Asia," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 255-296 National Bureau of Economic Research, Inc.
    8. Hylleberg, Svend & Mizon, Grayham E, 1989. "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 99(395), pages 113-25, Supplemen.
    9. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    10. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
    11. 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.
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