Dynamic Linkages Among Asian Pacific Exchange Rates 1995-2004

Abstract

This paper analyzes the dynamic interrelationships among the exchange rates of twelve countries in the Asian-Pacific region using Vector Auto regression Models. The exchange rates of the following countries are analyzed: Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data spans from May 1995 until the end of 2004. One of the more interesting findings is that the Chinese foreign exchange is not as isolated as one may hypothesize given both the results of the Granger Causality tests and the declared exchange rate policy of the Beijing Government.

Keywords: Exchange rates, Asian- Pacific region, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam; Correlograms; Impulse Responses; Variance Decompositions

JEL Classification: F0, F3, G0, C3, C5, E4, P0