Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?

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Title: Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?
Authors: Kearney, Colm
Muckley, Cal
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Date: Jun-2006
Abstract: Using daily data for a select set of four Asian exchange rates, namely the Hong Kong dollar, the Singapore dollar, the Taiwan dollar and the Thailand baht, from October 1985 to October 2002, we apply principal components analysis and the O-GARCH model to describe the evolution and persistence in the correlations over time. We also estimate 2-, 3- and 4-variable multivariate GARCH models, without imposing the assumption of constant correlations, to investigate volatility interaction amongst the currencies. To allow for fat tails in the distributions of exchange rate changes, we use the multivariate student-t distribution in maximising our log-likelihood functions. Our results indicate the possibility of designing an Asian exchange rate system involving a number of the region’s currencies.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Copyright (published version): Centre for Financial Markets, 2006
Keywords: Multivariate GARCH modelsExchange rate systems
Subject LCSH: International economic integration--Econometric models
Foreign exchange--Econometric models
Multivariate analysis
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Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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