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In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region

Author

Listed:
  • Tomer Shachmurove

    () (Social Science Computing Center, University of Pennsylvania)

  • Yochanan Shachmurove

    () (Department of Economics, University of Pennsylvania and The City College of The City University of New York)

Abstract

This paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from 1995 to 2004. It finds strong regional foreign exchange dependency, varying from 32 to 73 percent. This network of markets is highly correlated, with shocks to one reverberating throughout the region. Despite the linkages of the Chinese exchange rate to the United States dollar, the Chinese foreign exchange is not as independent with respect to its South-Asian neighbors as previously thought.

Suggested Citation

  • Tomer Shachmurove & Yochanan Shachmurove, 2007. "In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region," PIER Working Paper Archive 07-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  • Handle: RePEc:pen:papers:07-019
    as

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    File URL: http://economics.sas.upenn.edu/system/files/working-papers/07-019.pdf
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    References listed on IDEAS

    as
    1. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    2. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
    3. Yochanan Shachmurove, "undated". ""Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets''," CARESS Working Papres 96-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
    4. E. Ray Canterbery, 1984. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 7(1), pages 4-6, October.
    5. Soyoung Kim & Sunghyun Henry Kim & Yunjong Wang, 2004. "Macroeconomic Effects of Capital Account Liberalization: the Case of Korea," Review of Development Economics, Wiley Blackwell, vol. 8(4), pages 624-639, November.
    6. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277.
    7. Krueger,Anne O., 1983. "Exchange-Rate Determination," Cambridge Books, Cambridge University Press, number 9780521273015, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    : Exchange rates; Asian- Pacific region; Australia; China; Indonesia; Japan; Malaysia; New Zealand; Philippines; South Korea; Singapore; Taiwan; Thailand; Vietnam; Correlograms; Impulse Responses; Variance Decompositions; Interdependence;

    JEL classification:

    • F0 - International Economics - - General
    • F3 - International Economics - - International Finance
    • G0 - Financial Economics - - General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • P0 - Economic Systems - - General

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