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Reassessing the evidence of an emerging Yen block in North and Southeast Asia

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  • Colm Kearney
  • Cal Muckley

Abstract

Using weekly observations on 9 Asian currencies from November 1976 to December 2003, we re-examine the evidence of an emerging yen block in North and Southeast Asia. In contrast to previous research that assumes instantaneous adjustment of exchange rates by the region’s Central Banks to variations in the world’s main global currencies, we use a dynamic general-to-specific Newey-West estimation strategy that allows gradual adjustment and calculation of both short and long run equilibrium responses. We find that there is no de facto yen block, but although the US dollar remains dominant throughout the region, the yen’s influence is rising amongst a subset of the currencies since the early 1990s.

Suggested Citation

  • Colm Kearney & Cal Muckley, 2005. "Reassessing the evidence of an emerging Yen block in North and Southeast Asia," Centre for Financial Markets Working Papers 10197/1173, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1173
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    2. Rahman, Molla Ramizur & Misra, Arun Kumar & Lucey, Brian M. & Mohapatra, Sabyasachi & Kumar, Satish, 2023. "Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    3. 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.
    4. Kocenda, Evzen & Hanousek, Jan & Engelmann, Dirk, 2010. "Erratum to "Currencies, competition, and clans" [J. Policy Model. 30 (2008) 1115-1132]," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 432-432, May.

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