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
Citation
TSE, Yiu Kuen and Ng, L. K..
The Cointegration of Asian Currencies Revisited. (1997). Japan and the World Economy. 9, (1), 109-114.
Available at: https://ink.library.smu.edu.sg/soe_research/391
Additional URL
https://doi.org/10.1016/s0922-1425(96)00239-3