The Cointegration of Asian Currencies Revisited

Publication Type

Journal Article

Publication Date

1997

Abstract

This paper examines the cointegration of the currencies of the following seven Asian countries: Japan, Malaysia, Philippines, Singapore, Thailand, South Korea and Taiwan. We find that if the Korean won and the new Taiwan dollar are excluded from the system, the remaining currencies are not cointegrated. Otherwise, there is cointegration among the currencies. Thus, there is evidence in support of the formation of a yen-dominated Asian exchange rate system, or the ‘yen bloc.’

Discipline

Economics

Research Areas

Econometrics

Publication

Japan and the World Economy

Volume

9

Issue

1

First Page

109

Last Page

114

ISSN

0922-1425

Identifier

10.1016/s0922-1425(96)00239-3

Publisher

Elsevier

Additional URL

https://doi.org/10.1016/s0922-1425(96)00239-3

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