Financial Integration in Asia: A Systemic View on Currency Markets*
Dayong Zhang (),
Wanli Zhao (),
Fei Wu () and
Qiang Ji ()
Additional contact information
Fei Wu: Department of Economics University of Birmingham Edgbaston, Birmingham, UK, B15 2TT
Asian Economic Papers, 2020, vol. 19, issue 2, 41-58
Using a systemic approach, this study investigates the time-varying linkages among currency markets of Japan, the People's Republic of China, the Republic of Korea, and the five core ASEAN economies to understand financial integration in Asia. We first construct a vector autoregressive model and use the Diebold and Yilmaz (2014) approach to quantitatively identify the connectedness within the system, accompanied by a rolling-window approach to allow for time-varying dynamics and pairwise Granger causality tests to check the robustness of our main results. We find that though systemic interconnectedness varies over time, the Singapore dollar is constantly a top net contributor, explaining most of the variation in East Asian currency markets.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to PDF is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tpr:asiaec:v:19:y:2020:i:2:p:41-58
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=1535-3516
Access Statistics for this article
Asian Economic Papers is currently edited by Wing Thye Woo, Sung-Chun Jung, Fukunari Kimura and Ming Lu
More articles in Asian Economic Papers from MIT Press
Bibliographic data for series maintained by Ann Olson ().