In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region

24 Pages Posted: 11 Jul 2007

See all articles by Yochanan Shachmurove

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics; The University of Pennsylvania - Department of Economics

Tomer Shachmurove

Pennsylvania State University - College of the Liberal Arts - Department of Economic

Date Written: July 2007

Abstract

This paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from 1995 to 2004. It finds strong regional foreign exchange dependency, varying from 32 to 73 percent. This network of markets is highly correlated, with shocks to one reverberating throughout the region. Despite the linkages of the Chinese exchange rate to the United States dollar, the Chinese foreign exchange is not as independent with respect to its South-Asian neighbors as previously thought.

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; Interdependence

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

Suggested Citation

Shachmurove, Yochanan and Shachmurove, Tomer, In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region (July 2007). PIER Working Paper No. 07-019, Available at SSRN: https://ssrn.com/abstract=999387 or http://dx.doi.org/10.2139/ssrn.999387

Yochanan Shachmurove (Contact Author)

City University of New York, CUNY City College of New York - Department of Economics ( email )

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New York, NY 10031
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The University of Pennsylvania - Department of Economics ( email )

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Tomer Shachmurove

Pennsylvania State University - College of the Liberal Arts - Department of Economic ( email )

524 Kern Graduate Building
University Park, PA 16802-3306
United States

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