Granger Causality Among Pre-Crisis East Asian Exchange Rates
We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gauâ€™s (1997) â€œofficial bandâ€ model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our findings provide some empirical support for the presence of systematic relationships that are consistent with the contagious nature of the Asian crisis
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- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
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