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 prospective Asian exchange rate regimes and finds short- and longrun currency dynamics more conducive to the introduction of a common peg based on a basket of the European euro, the United States dollar and the Japanese yen than the alternative of a United States dollar peg exchange rate regime. Exchange rate systems of 3- 4- and 5- Asian currencies are considered and the dynamics in a set of four European currencies prior to the introduction of the Euro provides benchmark evidence. The evidence for an Asian basket peg exchange rate regime is strengthened when, unlike prior studies, estimates of the long-run parameters account for time-varying volatility effects.

Keywords: Asia; Basket exchange rates; Currency pegs; Exchange rate regimes; 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: 2010-01
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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/2567

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