The cointegration of Asian currencies revisited

Japan and the World Economy

Volumn 9, Issue 1, 1997, Pages 109-114

  Tse, Y K ^a   Ng, L K ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Monetary Authority of Singapore   (Singapore)

Author keywords

Cointegration; Exchange rate; Managed float; Market efficiency; Yen bloc

Indexed keywords

EID: 0031093340     PISSN: 09221425     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0922-1425(96)00239-3     Document Type: Article

References (18)

1. Aggarwal, R. and M. Mougoue, 1993, Cointegration among Southeast Asian and Japanese currencies, Economics Letters 41 161-166.
2. Alexander, C.O. and A. Johnson, 1992, Are foreign exchange markets really efficient?, Economics Letters 40 449-453.
3. Baillie, R.T. and T. Bollerslev, 1989, Common stochastic trends in a system of exchange rates, Journal of Finance 44 167-181.
4. Baillie, R.T. and T. Bollerslev, 1994, Cointegration, fractional cointegration, and exchange rate dynamics, Journal of Finance 49 737-745.
5. Cuthbertson, K., S.G. Hall and M.P. Taylor, 1992, Applied Econometric Techniques (Philip Allan, Hertfordshire).
6. Diebold, F.X., J. Gardeazabal and K. Yilmaz, 1994, On cointegration and exchange rate dynamics, Journal of Finance 49 727-735.
7. Engle, R.F. and C.W.J. Granger, 1987, Cointegration and error correction: Representation, estimation and testing, Econometrica 55 251-276.
8. Frankel, J.A., 1992, Is Japan creating a yen bloc in East Asia and the Pacific?, National Bureau of Economic Research Working Paper 4050.
9. Freris. A.F., 1991, The Financial Markets of Hong Kong (Routledge, London).
10. Fukuda, S., 1996, The structural determinants of invoice currencies in Japan: The case of foreign trade with East Asian countries, in: T. Ito and A.O. Krueger, eds., Financial Deregulation and Integration in East Asia (University of Chicago Press, Chicago) pp.147-163.
11. Hakkio, C.S. and M. Rush, 1989, Market efficiency and cointegration: An application to the sterling and deutschemark exchange markets, Journal of International Money and Finance 8 75-88.
12. Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12 231-254.
13. Kim, D.C., 1992, Open regionalism in the Pacific: A world of trading blocs?, American Economic Review 82(2) 79-83.
14. MacDonald, R. and M.P. Taylor, 1989, Foreign exchange market efficiency and cointegration, Economics Letters 29 63-68.
15. MacKinnon, J.G., 1991, Critical values for cointegration tests, in: R.F. Engle and C.W.J. Granger, eds., Long Run Economic Relationships: Readings in Cointegration (Oxford University Press, Oxford) pp.267-276.
16. Melvin, M. and B. Peiers, 1993, On the possibility of a yen currency bloc for Pacific-basin countries: A stochastic dominance approach, Pacific-Basin Finance Journal 1 309-333.
17. Osterwald-Lenum, M., 1990, A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics 54 461-472.
18. Sephton, P.S. and H.K. Larsen, 1991, Tests of exchange market efficiency: Fragile evidence from cointegration tests, Journal of International Money and Finance 10 561-570.