Reassessing the Evidence of an Emerging Yen Block in North and Southeast Asia

29 Pages Posted: 15 Jul 2006 Last revised: 10 Jan 2010

See all articles by Colm Kearney

Colm Kearney

Monash University - Monash Business School

Cal B. Muckley

University College Dublin

Date Written: November 1, 2004

Abstract

Using weekly observations on 9 Asian currencies from November 1976 to December 2003, we re-examine the evidence of an emerging yen block in North and Southeast Asia. In contrast to previous research that assumes instantaneous adjustment of exchange rates by the region's Central Banks to variations in the world's main global currencies, we use a dynamic general-to-specific Newey-West estimation strategy that allows gradual adjustment and calculation of both short and long run equilibrium responses. We find that there is no de facto yen block, but although the US dollar remains dominant throughout the region, the yen's influence is rising amongst a subset of the currencies, particularly since the Asian crisis of the late 1990s.

Keywords: Exchange rate systems, yen block

Suggested Citation

Kearney, Colm and Muckley, Cal B., Reassessing the Evidence of an Emerging Yen Block in North and Southeast Asia (November 1, 2004). International Review of Economics and Finance, Vol. 16, pp. 255-271, 2007, Available at SSRN: https://ssrn.com/abstract=914573

Colm Kearney (Contact Author)

Monash University - Monash Business School ( email )

Sir John Monash Drive
Caulfield
Melbourne, Victoria 3168
Australia
+353399031021 (Phone)

Cal B. Muckley

University College Dublin ( email )

Blackrock, Co. Dublin
Ireland
+353-1-716-8091 (Phone)

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