The post-crisis relationship between Asia-Pacific currencies and its implications on the common Asian currency
This study explored the relationship between Asia-Pacific currencies in the decade that followed the Asian financial crisis of 1997. Applying the Johansen methodology on daily exchange rate data on ten Asia-Pacific currencies (Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar,...
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| Format: | text |
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Animo Repository
2008
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| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/13587 |
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| Institution: | De La Salle University |
| Summary: | This study explored the relationship between Asia-Pacific currencies in the decade that followed the Asian financial crisis of 1997. Applying the Johansen methodology on daily exchange rate data on ten Asia-Pacific currencies (Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, Thai baht, Chinese yuan, Japanese yen, South Korean won, Australian dollar, and New Zealand dollar) against the U.S. dollar from the end of the crisis to the present (1999 to 2008), it was found that the currencies are cointegrated. Thereafter, using pairwise Granger Causality tests, the direction and strength of the relationships among the currencies were analyzed and modeled. Finally, the implications of the findings on the proposed common Asian Currency as part of Asia-Pacific financial integration were discussed. |
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