Assessing co-ordinated Asian exchange rate regimes

Raj Aggarwal and Cal Muckley

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

Abstract: This study assesses alternative Asian exchange rate regimes and finds short- and long-run currency dynamics more conducive to the possibility of introducing a common peg based on a basket of the European euro, the United States dollar and the Japanese yen than the alternative of re-introducing a United States dollar peg exchange rate regime. Exchange rate systems of 3- 4- and 5- Asian currencies are examined and the dynamics in a set of 4 European currencies prior to the introduction of the Euro provides benchmark evidence. The evidence for an Asian basket peg regime is strengthened when, unlike in prior studies, the long-run parameters are estimated while accounting for generalised autoregressive conditional heteroscedasticity effects.

Keywords: Exchange rate regimes; Asia; Currency pegs; Basket exchange rates; International finance; Foreign exchange--Asia; Foreign exchange rates--Asia (search for similar items in EconPapers)
JEL-codes: F02 F31 F33 F42 (search for similar items in EconPapers)
Date: 2007-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10197/1180 First version, 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1180

Access Statistics for this paper

More papers in Centre for Financial Markets Working Papers from Research Repository, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Joseph Greene ().