M., Azali and Lee, Chin (2009): Asian Financial Integration during the Pre- and Post-crisis Periods. Published in: Journal of International of Economic Review , Vol. 2, No. 1-2 (2009): pp. 103-112.
Download (77kB) | Preview
As the economies of Asian have moved towards closer economic ties and trade integration in recent years, the establishment of regional exchange rate arrangement is becoming an important regional policy concern, particularly in the wake of the Asian currency crisis of 1997. Financial integration in ASEAN+3 is assessed in this paper by examining the time-series stochastic behaviour and cointegration in a set of eight ASEAN+3 currencies in pre-crisis, crisis and post-crisis periods. Significant non-stationarity, and the presence of unit roots were documented for each currency in each sample period. The results of cointegration analysis showed that the currencies are not cointegrated during the pre-crisis period. Evidence of cointegration was found among a few Asian currencies in the crisis and post-crisis periods. These findings have important implications for understanding the potential of developing a common currency area.
|Item Type:||MPRA Paper|
|Original Title:||Asian Financial Integration during the Pre- and Post-crisis Periods|
|Keywords:||Exchange Rate, Cointegration, Granger-causality, Asian|
|Subjects:||F - International Economics > F3 - International Finance > F31 - Foreign Exchange
F - International Economics > F3 - International Finance > F33 - International Monetary Arrangements and Institutions
|Depositing User:||Chin Lee|
|Date Deposited:||14. Aug 2012 09:19|
|Last Modified:||01. Nov 2015 03:21|
Aggarwal, R. & Mougoue, M. (1993). Cointegration among Southeast Asian and Japanese currencies: Preliminary evidence of a Yen bloc? Economics Letters, 41(2), 161-166.
Aggarwal, R. & Mougoue, M., (1996). Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese Yen. Japan and the World Economy, 8(3), 291-308.
Baharumshah, A. Z. and Goh, W. K. (2005). Financial integration of East Asia: Is there a Yen block? In Open Economy Macroeconomics In East Asia, ed. A. Z. Baharumshah. Ashgate: Aldershot, 147-168.
Chaudhry (1996). The cointegration experience of Eastern currencies: Evidence from the 1980s. Finance India, 10(1), 49-59.
Dickey, D. A & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of American Statistical Association, 74(366), 427-431.
Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
Engle, R. F. & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2), 231-254.
Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580.
Johansen, S. & Juselius, K (1992). Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. Journal of Econometrics, 53(1-3), 211-244.
Johansen, S. & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration, with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistic. Oxford Bulletin of Economics and Statistics, 54(3), 461-472.
Schwert, G.W. (1987). Effects of model specification tests for unit root in macroeconomic data. Journal of Monetary Economics, 20(1), 73-103.
Tse, Y. K & Ng, L. K. (1997). The cointegration of Asian currencies revisited. Japan and the World Economy, 9 (1), 109-114.