Caporale, Guglielmo Maria, Gil-Alana, Luis A. and You, Kefei ORCID: https://orcid.org/0000-0001-7253-5838 (2016) Exchange Rate Linkages Between the ASEAN Currencies, the US Dollar and the Chinese RMB. [Working Paper] (Unpublished)

Preview

PDF (Research Discusssion paper) 21416 YOU_Exchange_Rate_Linkages_Between_the_ASEAN_Currencies_2016.pdf - Updated Version Download (1MB) | Preview

Abstract

This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.

Item Type:	Working Paper
Uncontrolled Keywords:	ASEAN currencies, Chinese RMB, US dollar peg, fractional integration, breaks
Subjects:	H Social Sciences > HF Commerce > HF5601 Accounting H Social Sciences > HG Finance
Faculty / School / Research Centre / Research Group:	Faculty of Business Faculty of Business > Department of Accounting & Finance
Last Modified:	27 Feb 2019 16:01
URI:	http://gala.gre.ac.uk/id/eprint/21416

Actions (login required)

View Item

Downloads