The Cointegration of Asian Currencies Revisited
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.’
Japan and the World Economy
TSE, Yiu Kuen and Ng, L. K..
The Cointegration of Asian Currencies Revisited. (1997). Japan and the World Economy. 9, (1), 109-114. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/391
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