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Assessing Co-ordinated Asian Exchange Rate Regimes

Author

Listed:
  • Raj Aggarwal

    (College of Business Administration, University of Akron)

  • Cal B. Muckley

    (Smurfit Business School, University College Dublin)

Abstract

This study assesses alternative Asian exchange rate regimes and finds short- and long-run currency dynamics more conducive to the possibility of introducing a common peg based on a basket of the European euro, the United States dollar and the Japanese yen than the alternative of re-introducing a United States dollar peg exchange rate regime. Exchange rate systems of 3- 4- and 5- Asian currencies are examined and the dynamics in a set of 4 European currencies prior to the introduction of the Euro provides benchmark evidence. The evidence for an Asian basket peg regime is strengthened when, unlike in prior studies, the long-run parameters are estimated while accounting for generalised autoregressive conditional heteroscedasticity effects.

Suggested Citation

  • Raj Aggarwal & Cal B. Muckley, 2010. "Assessing Co-ordinated Asian Exchange Rate Regimes," Working Papers 200842, Geary Institute, University College Dublin.
  • Handle: RePEc:ucd:wpaper:200842
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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200842.pdf
    File Function: First version, 2008
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    Cited by:

    1. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.

    More about this item

    Keywords

    Exchange Rate Regimes; Asia; Currency Pegs; Basket Exchange Rates;

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F02 - International Economics - - General - - - International Economic Order and Integration

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