The Markov-switching Granger Causality of Asia-Pacific Exchange Rates

Jing-Tung Wu ()
Additional contact information
Jing-Tung Wu: Department of Finance, Ming Chuan University.

Journal for Economic Forecasting, 2016, issue 3, 94-115

Abstract: This paper examines the Granger causality relationships of the Asia-Pacific exchange rates. We employ Markov-switching vector autoregressive model to capture the dynamic linkages between them. Empirical examination processes use the nominal and real exchange rates of Chinese Yuan, Japanese yen, New Taiwan dollar and South Korean Won. The results of Markov-switching Granger causalities differ remarkably from the conventional linear model and provide more accurate measurement. We find the Markov-switching Granger causalities between exchange rates, and they vary with respect to the sample lag period. The mutual relationships between Asia-Pacific exchange rates are profound and lasting. This is suggested that we should use the nonlinear model to recheck the Granger causalities of exchange rates, and capture the fluctuations of Asia-Pacific exchange rates.

Keywords: Asia-Pacific; exchange rate; Granger causality; Markov-switching vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C34 F31 F37 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ipe.ro/rjef/rjef3_16/rjef3_2016p94-115.pdf

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:rjr:romjef:v::y:2016:i:3:p:94-115

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).