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

Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis
Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis
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.
exchange rate, asian financial crisis, Johansen cointegration, band regression
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Ng, Edward
6563bc9e-5552-4958-aa70-298712daac13
Peng, Ke
4ba591b1-6929-468c-a9a7-c948297e3aa0
Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Ng, Edward
6563bc9e-5552-4958-aa70-298712daac13
Peng, Ke
4ba591b1-6929-468c-a9a7-c948297e3aa0

Choudhry, Taufiq, Ng, Edward and Peng, Ke (2004) Dynamic interaction between Asian exchange rates: evidence from the Asian financial crisis. 8th Annual International Conference on Macroeconomics Analysis and International Finance, Crete. 26 - 28 May 2004.

Record type: Conference or Workshop Item (Paper)

Abstract

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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More information

Published date: 2004
Venue - Dates: 8th Annual International Conference on Macroeconomics Analysis and International Finance, Crete, 2004-05-26 - 2004-05-28
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
ORCID for Taufiq Choudhry: ORCID iD orcid.org/0000-0002-0463-0662

Catalogue record

Date deposited: 31 May 2006
Last modified: 18 Feb 2021 16:55

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