In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region
The City College of The City University of New York - Department of Economics; The University of Pennsylvania - Department of Economics
Pennsylvania State University - College of the Liberal Arts - Department of Economic
PIER Working Paper No. 07-019
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.
Number of Pages in PDF File: 24
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, P0working papers series
Date posted: July 11, 2007
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