IDEAS home Printed from https://ideas.repec.org/p/rru/cfmwps/10197-1145.html
   My bibliography  Save this paper

Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?

Author

Listed:
  • Colm Kearney
  • Cal Muckley

Abstract

Using daily data for a select set of four Asian exchange rates, namely the Hong Kong dollar, the Singapore dollar, the Taiwan dollar and the Thailand baht, from October 1985 to October 2002, we apply principal components analysis and the O-GARCH model to describe the evolution and persistence in the correlations over time. We also estimate 2-, 3- and 4-variable multivariate GARCH models, without imposing the assumption of constant correlations, to investigate volatility interaction amongst the currencies. To allow for fat tails in the distributions of exchange rate changes, we use the multivariate student-t distribution in maximising our log-likelihood functions. Our results indicate the possibility of designing an Asian exchange rate system involving a number of the region’s currencies.

Suggested Citation

  • Colm Kearney & Cal Muckley, 2006. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," Centre for Financial Markets Working Papers 10197/1145, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1145
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10197/1145
    File Function: First version, 2006
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rru:cfmwps:10197/1145. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joseph Greene (email available below). General contact details of provider: https://edirc.repec.org/data/cfucdie.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.