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In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region

Tomer Shachmurove () and Yochanan Shachmurove
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Tomer Shachmurove: Social Science Computing Center, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from 1995 to 2004. It finds strong regional foreign exchange dependency, varying from 32 to 73 percent. This network of markets is highly correlated, with shocks to one reverberating throughout the region. Despite the linkages of the Chinese exchange rate to the United States dollar, the Chinese foreign exchange is not as independent with respect to its South-Asian neighbors as previously thought.

Keywords: : Exchange rates; Asian- Pacific region; Australia; China; Indonesia; Japan; Malaysia; New Zealand; Philippines; South Korea; Singapore; Taiwan; Thailand; Vietnam; Correlograms; Impulse Responses; Variance Decompositions; Interdependence (search for similar items in EconPapers)
JEL-codes: C3 C5 E4 F0 F3 G0 P0 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2007-07-01
New Economics Papers: this item is included in nep-cba, nep-cna, nep-ifn, nep-mac, nep-mon, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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