The evolutionary synchronization of the exchange rate system in ASEAN+6

Xiaobing Feng, Haibo Hu and Xiaofan Wang

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 24, 5785-5793

Abstract: Although there are extensive researches on the behavior of the world currency network, the complexity of the Asian regional currency system is not well understood regardless of its importance. Using daily exchange rates this paper examines exchange rate co-movements in the region before and after the China exchange rate reform. It was found that the correlation between Asian currencies and the US Dollar, the previous regional key currency has become weaker and intra-Asia interactions have increased. Cross sample entropy and cross entropy approaches are also applied to examine the synchrony behavior among the Asian currencies. The study also shows that the Asian exchange rate markets featured are neither stochastic nor efficient. These findings may shed some light on the in-depth understanding of collective behaviors in a regional currency network; they will also lay a theoretical foundation for further policy formulation in Asian currency integration.

Keywords: Correlation matrix; Cross sample entropy; Cross entropy; Random matrix theory; Exchange rate synchronization (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437110007910
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:24:p:5785-5793

DOI: 10.1016/j.physa.2010.09.011

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().