The Role of the Japanese Yen in Asian Exchange Rate Determination

Colm Kearney and Cal Muckley

A chapter in Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century, 2005, pp 29-51 from Emerald Group Publishing Limited

Abstract: We study up to 27 years of weekly data on nine currencies to examine the importance of the Japanese yen in exchange rate determination in North and Southeast Asia. We combine a time-varying methodology alongside a focus on long-run equilibrium. Our findings suggest that the Japanese yen had virtually no influence on Asian exchange rates in the 10-year period prior to the Asian financial crisis in the late 1990s. Since the crisis, the yen and the German mark in particular have exerted a significant influence over the region's exchange rates except for the Chinese yuan, the Hong Kong dollar and the Malaysian ringgit, which continue to be closely related to the US dollar.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(05)86002-4

DOI: 10.1016/S1569-3759(05)86002-4

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