In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region
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.
|Date of creation:||01 Jul 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://economics.sas.upenn.edu/pier
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Yochanan Shachmurove, .
"Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets,"
Penn CARESS Working Papers
e5ba8f857b7ab5742bd6c3467, Penn Economics Department.
- Yochanan Shachmurove, . ""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.
- E. Ray Canterbery, 1984. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 7(1), pages 4-6, October.
- Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- 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.
When requesting a correction, please mention this item's handle: RePEc:pen:papers:07-019. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dolly Guarini)
If references are entirely missing, you can add them using this form.