Exchange Rate Regimes in East Asia after the Crisis: Implications from Intra-daily Data
The purpose of this paper is to investigate what affected the post-crisis exchange rates of five East Asian countries: Singapore, Thailand, Korea, Taiwan, and Malaysia. Based on intra-daily observations, we examine how and when these five East Asian currencies changed their correlations with the U.S. dollar and the Japanese yen. During the time zones when East Asian markets were closed, the East Asian currencies kept strong correlations with the U.S. dollar throughout the pos-crisis period. We, however, find structural breaks in the correlations during the time zones when East Asian markets were open. In the post-crisis period, the first structural break arose when Malaysia adopted the fixed exchange rate. The second structural break occurred when Indonesia and Thailand introduced inflation targeting. The structural breaks suggest strong monetary and real linkage among East Asian countries. After early 2000, the East Asian currencies increased correlations with the U.S. dollar and began reverting back to de facto pegs against the U.S. dollar in terms of their growth rates.
|Date of creation:||Nov 2003|
|Contact details of provider:|| Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033|
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
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.:
- Takatoshi Ito & Eiji Ogawa & Yuri Nagataki Sasaki, 1999.
"How Did the Dollar Peg Fail in Asia?,"
NBER Working Papers
6729, National Bureau of Economic Research, Inc.
- Ito, Takatoshi & Ogawa, Eiji & Sasaki, Yuri Nagataki, 1998. "How Did the Dollar Peg Fail in Asia?," Journal of the Japanese and International Economies, Elsevier, vol. 12(4), pages 256-304, December.
- John Williamson, 2000.
"Exchange Rate Regimes for Emerging Markets: Reviving the Intermediate Option,"
Peterson Institute Press: Policy Analyses in International Economics,
Peterson Institute for International Economics, number pa60, February.
- John Williamson, 2000. "Exchange Rate Regimes for Emerging Markets: Reviving the Intermediate Option," Peterson Institute Press: All Books, Peterson Institute for International Economics, number pa60, January.
- Bayoumi, Tamim & Eichengreen, Barry & Mauro, Paolo, 2000.
"On Regional Monetary Arrangements For ASEAN,"
CEPR Discussion Papers
2411, C.E.P.R. Discussion Papers.
- Bayoumi, Tamim & Eichengreen, Barry & Mauro, Paolo, 2000. "On Regional Monetary Arrangements for ASEAN," Journal of the Japanese and International Economies, Elsevier, vol. 14(2), pages 121-148, June.
- Jeffrey A. Frankel, 1999. "No Single Currency Regime is Right for All Countries or At All Times," NBER Working Papers 7338, National Bureau of Economic Research, Inc.
- Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 3-24, Spring.
- Shin-ichi Fukuda, 2002. "Post-crisis Exchange Rate Regimes in East Asia," CIRJE F-Series CIRJE-F-181, CIRJE, Faculty of Economics, University of Tokyo.
- Ramikishen Rajan, 2002. "Exchange Rate Policy Options for Post-crisis Southeast Asia: Is There a Case for Currency Baskets?," The World Economy, Wiley Blackwell, vol. 25(1), pages 137-163, 01.
When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2003cf247. 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: (CIRJE administrative office)
If references are entirely missing, you can add them using this form.