Reassessing the evidence of an emerging Yen block in North and Southeast Asia

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Title: Reassessing the evidence of an emerging Yen block in North and Southeast Asia
Authors: Kearney, Colm
Muckley, Cal
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Date: May-2005
Abstract: Using weekly observations on 9 Asian currencies from November 1976 to December 2003, we re-examine the evidence of an emerging yen block in North and Southeast Asia. In contrast to previous research that assumes instantaneous adjustment of exchange rates by the region’s Central Banks to variations in the world’s main global currencies, we use a dynamic general-to-specific Newey-West estimation strategy that allows gradual adjustment and calculation of both short and long run equilibrium responses. We find that there is no de facto yen block, but although the US dollar remains dominant throughout the region, the yen’s influence is rising amongst a subset of the currencies since the early 1990s.
Funding Details: Irish Research Council for the Humanities and Social Sciences; Anglo Irish Bank
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-05-06
Copyright (published version): 2005, Centre for Financial Markets
Keywords: Exchange rate systemsyen block
Subject LCSH: Foreign exchange rates--Asia
Yen, Japanese--Asia
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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Status of Item: Not peer reviewed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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