How Did the Global Financial Crisis Misalign East Asian Currencies?

Eiji Ogawa, 英治 小川 and Zhiqian Wang

No G-1-8, Working Paper Series from Hitotsubashi University Center for Financial Research

Abstract: This paper investigates how the East Asian currencies were affected by the global financial crisis. We employ methodologies involving β-convergence and σ-convergence to examine the misalignments or divergence of East Asian currencies in different sample periods. Our empirical results show that exchange rate misalignments among East Asian countries were widening even before the global financial crisis. Active international capital flows such as yen carry trade also affected the movement of East Asian currencies. We conclude that it is necessary to establish a surveillance system within the East Asian area for purposes of early detection and prevention of intra-regional exchange rate misalignments.

Keywords: Asian Monetary Unit; AMU Deviation Indicator; PPP-Based AMU Deviation Indicator Adjusted by the Balassa–Samuelson Effect; β-Convergence and σ-Convergence; Regional Monetary Cooperation (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2014-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hit:hcfrwp:g-1-8

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