Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB

Guglielmo Maria Caporale, Luis Gil-Alana and Kefei You

No 1590, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.

Keywords: ASEAN currencies; Chinese RMB; US dollar peg; fractional integration; breaks (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Pages: 33 p.
Date: 2016
New Economics Papers: this item is included in nep-ger, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB (2018)
Working Paper: Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB (2016)
Working Paper: Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB (2016)
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