Granger Causality Among Pre-Crisis East Asian Exchange Rates

Joseph Alba and Donghyun Park

No 697, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gau’s (1997) “official band†model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our findings provide some empirical support for the presence of systematic relationships that are consistent with the contagious nature of the Asian crisis

Keywords: Causality; exchange rate; East Asia; contagion; crisis (search for similar items in EconPapers)
JEL-codes: F31 O53 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:697

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