Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis
Choudhry, Taufiq, Ng, Edward and Peng, Ke (2004) Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis. In, 8th Annual International Conference on Macroeconomics Analysis and International Finance, Crete, 27 - 29 May 2004.
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This paper examines the pattern of interaction among Asian exchange rates, and how the pattern changed before and during/after the Asian financial crisis of 1997-98. The empirical tests are conducted using daily nominal exchanges rates based on the US dollar and the Japanese yen from several Far East countries and Australia during pre crisis period (1990-1997) and during/after crisis period (1997-2002). The empirical tests are conducted using Johansen multivariate cointegration method and band spectrum regressions. Results from both tests indicate substantial changes in the interaction and relationships between the Far East exchange rates before and after the crisis. Results from the band spectrum regressions indicate the increase in the domination of the US dollar in the region after the crisis.
|Item Type:||Conference or Workshop Item (Paper)|
|Keywords:||exchange rate, asian financial crisis, Johansen cointegration, band regression|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||31 May 2006|
|Last Modified:||02 Mar 2012 13:07|
|Contributors:||Choudhry, Taufiq (Author)
Ng, Edward (Author)
Peng, Ke (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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