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Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis

Record type: Conference or Workshop Item (Paper)

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.

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Citation

Choudhry, Taufiq, Ng, Edward and Peng, Ke (2004) Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis At 8th Annual International Conference on Macroeconomics Analysis and International Finance. 27 - 29 May 2004.

More information

Published date: 2004
Venue - Dates: 8th Annual International Conference on Macroeconomics Analysis and International Finance, 2004-05-27 - 2004-05-29
Keywords: exchange rate, asian financial crisis, Johansen cointegration, band regression

Identifiers

Local EPrints ID: 37458
URI: http://eprints.soton.ac.uk/id/eprint/37458
PURE UUID: bd53cd05-8781-4607-b986-78cab4d22efe

Catalogue record

Date deposited: 31 May 2006
Last modified: 17 Jul 2017 15:42

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Contributors

Author: Taufiq Choudhry
Author: Edward Ng
Author: Ke Peng

University divisions


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