Are there systematic relationships between China's and Southeast Asia's exchange rates? evidence from daily data

Asian Economic Journal

Volumn 13, Issue 1, 1999, Pages 73-92

  Alba, Joseph D ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; FINANCIAL CRISIS;

(SOUTHEAST); ASIA; CHINA;

EID: 0032713751     PISSN: 13513958     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-8381.00075     Document Type: Article

References (36)

1. Alba, Joseph D., 1997, Are exchange rate expectations adaptive? Evidence from a structural open economy model. Journal of Macroeconomics, 19, pp. 555-569.
2. Baillie Richard, T. and Tim Bollerslev, 1989, The message in daily exchange rates: a conditional variance tale. Journal of Business and Economic Statistics, 7, pp. 297-305.
3. Baillie Richard, T. and Tim Bollerslev, 1990, Intra-day and inter-market volatility in foreign exchange rates. The Review of Economic Studies, 58, pp. 565-585.
4. Bekaert, Geert and Stephen, F. Gray, 1996, Target Zones and Exchange Rates: An Empirical Investigation. National Bureau of Economic Research Working Paper Series No. 5445.
5. Berndt, E. K., B. H. Hall, R. E. Hall and J. A. Hausman, 1974, Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3, pp. 653-665.
6. Bollerslev, Tim and Jeffrey M. Wooldridge, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, 11 (2), pp. 143-172.
7. Breusch, T. S. and A. R. Pagan, 1979, A simple test for heteroskedasticity and random coefficient variation. Econometrica, 47, pp. 1287-1294.
8. Cheung Yin-Wong and Lilian K. Ng, 1996, A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72, pp. 33-48.
9. Dickey, David A. and Wayne A. Fuller, 1979, Distribution of the estimators for autoregressive time series with a Unit root. Journal of the American Statistical Association, 74, pp. 427-431.
10. Engle, Robert, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50 (4), pp. 987-1007.
11. Engle, Robert and Yin-Feng Gau, 1996, Conditional Volatility of Exchange Rates Under a Target Zone. Manuscript, University of California at San Diego.
12. Engle, Robert, Takatishi Ito and Wen-Ling Lin, 1990, Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica, 58 (3), pp. 525-542.
13. Engle, Robert, David Lilien and Russel Robins, 1987, Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, pp. 391-407.
14. French, Kenneth R., G. William Schwert and Robert F. Stambaugh, 1987, Expected returns and volatility. Journal of Financial Economics, 19, pp. 3-29.
15. Granger C. W. J., 1969, Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37, pp. 424-438.
16. Hamao, Yasushi, Ronald W. Masulis and Victor Ng, 1990, Correlations in price changes and volatility across international Markets. Review of Financial Studies, 3, pp. 281-307.
17. Hamilton, James D., 1994, Time Series Analysis. Princeton University Press, New Jersey.
18. Harvey, Andrew, 1990, The Econometric Analysis of Time Series. Philip Allan, London.
19. Haugh, L. D., 1976, Checking the independence of two covariance-stationary time series: a univariate residual cross-correlation approach. Journal of the American Statistical Association, 71, pp. 378-385.
20. Hsieh, David A., 1989, Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business and Economic Statistics, 7, pp. 307-317.
21. International Monetary Fund, 1994-1996, Annual Report on Exchange Rate Arrangements and Exchange Restrictions. Washington DC.
22. International Monetary Fund, May 1998. World Economic Outlook. Washington DC.
23. Ito, Takatoshi and V. Vance Roley, 1987, News from the U.S. and Japan, which moves the yen/dollar exchange rate? Journal of Monetary Economics, 19, pp. 255-277.
24. Kwiatkowski, Denis, Peter C. B. Phillips, Peter Schmidt and Yongcheol Shin, 1992, Testing the null hypothesis of stationarity against the alternative of unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, pp. 159-178.
25. Lee Sang Bin and Kwang Jung Kim, 1993, Does the October 1987 crash strengthen the comovements among national stock markets? Review of Financial Economics, 3 (1), pp. 89-102.
26. Ljung, G. M. and Box, G. E. P., 1978, On the measure of lack of fit in time series models. Biometrika, 65, pp. 297-303.
27. Nieuwland, Frederick G. M. C., Willem F. C. Verschoor and Christian C. P. Wolff, 1994, Stochastic trends and jumps in EMS exchange rates. Journal of International Money and Finance, 13 (6), pp. 699-727.
28. Papell, David H., 1992. Exchange rate and price dynamics under adaptive and rational expectations: an empirical analysis. Journal of International Money and Finance, 11, pp. 219-240.
29. Pierce, D. A. and L. D. Haugh, 1977, Causality in temporal systems. Journal of Econometrics, 5, pp. 265-293.
30. Phillips, Peter C. B. and Pierre Perron, 1988, Testing for unit Root in time series regression. Biometrika, 75, pp. 335-346.
31. So, Mike K. P., K. Lam and W. K. Li, 1997, An empirical study of volatility in seven Southeast Asian stock markets using ARV models. Journal of Business, Finance and Accounting, 24 (2), pp. 261-275.
32. Straits Times (Singapore), 1998, China denies sparking off Asia Crisis. 8 January.
33. Vlaar, Peter J. G. and Franz C. Palm, 1993, The message in weekly exchange rates in the European Monetary System: Mean reversion, conditional heteroskedasticity and jumps. Journal of Business and Economic Statistics, 11 (3), pp. 351-360.
34. Wall Street Journal, 1998, China GDP grew 7.2% in quarter in clear sign slowdown continues. 22 April. Interactive Edition.
35. Wall Street Journal, 1997, 10 July and 11 July. Interactive Edition.
36. Wooldridge, Jeffrey, M., 1990, A unified approach to robust, regression-based specification tests. Econometric Theory, 6, pp. 17-43.