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The Role of the Japanese Yen in Asian Exchange Rate Determination

In: Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century

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  • Colm Kearney
  • Cal Muckley

Abstract

We study up to 27 years of weekly data on nine currencies to examine the importance of the Japanese yen in exchange rate determination in North and Southeast Asia. We combine a time-varying methodology alongside a focus on long-run equilibrium. Our findings suggest that the Japanese yen had virtually no influence on Asian exchange rates in the 10-year period prior to the Asian financial crisis in the late 1990s. Since the crisis, the yen and the German mark in particular have exerted a significant influence over the region's exchange rates except for the Chinese yuan, the Hong Kong dollar and the Malaysian ringgit, which continue to be closely related to the US dollar.

Suggested Citation

  • Colm Kearney & Cal Muckley, 2005. "The Role of the Japanese Yen in Asian Exchange Rate Determination," Contemporary Studies in Economic and Financial Analysis, in: Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century, pages 29-51, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-3759(05)86002-4
    DOI: 10.1016/S1569-3759(05)86002-4
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    Cited by:

    1. 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.
    2. Kocenda, Evzen & Hanousek, Jan & Engelmann, Dirk, 2008. "Currencies, competition, and clans," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 1115-1132.
    3. Azad, A.S.M. Sohel, 2009. "Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data," Research in International Business and Finance, Elsevier, vol. 23(3), pages 322-338, September.

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