De facto exchange rate regimes in post-crisis Asia

Takuji Kinkyo ()
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Takuji Kinkyo: Graduate School of Economics, Kobe University

Economics Bulletin, 2012, vol. 32, issue 3, 2155-2165

Abstract: This paper empirically examines the behaviour of exchange rates in order to identify de facto exchange rate regimes in post-crisis Asian countries. We use the multivariate GARCH model to estimate the conditional correlation among the value of currencies, which include the currencies of Thailand, Korea, Indonesia, and China. The results indicate that the degree of flexibility has increased substantially in the post-crisis exchange rate regimes in those economies, except for China. Even after the introduction of new system in 2005, the renminbi continues to be effectively pegged to the dollar.

Keywords: exchange rate regimes; Asian crisis; multivariate GARCH (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2012-08-01
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