Download this Paper Open PDF in Browser

Dynamic Linkages Among Asian Pacific Exchange Rates 1995-2004

17 Pages Posted: 10 Jun 2008  

Tomer Shachmurove

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

Yochanan Shachmurove

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

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

Suggested Citation

Shachmurove, Tomer and Shachmurove, Yochanan, Dynamic Linkages Among Asian Pacific Exchange Rates 1995-2004. International Journal of Business, Vol. 13, No. 2, 2008. Available at SSRN: https://ssrn.com/abstract=1141342

Tomer Shachmurove (Contact Author)

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

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

Yochanan Shachmurove

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

160 Convent Avenue
New York, NY 10031
United States
212-650-6202 (Phone)

The University of Pennsylvania - Department of Economics ( email )

160 McNeil Building
3718 Locust Walk
Philadelphia, PA 19104
United States
215-898-1090 (Phone)
215-573-2057 (Fax)

Paper statistics

Downloads
710
Rank
28,953
Abstract Views
1,965