Assessing co-ordinated Asian exchange rate regimes

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Title: Assessing co-ordinated Asian exchange rate regimes
Authors: Aggarwal, Raj
Muckley, Cal
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Date: Aug-2007
Online since: 2009-06-15T13:33:09Z
Abstract: This study assesses alternative Asian exchange rate regimes and finds short- and long-run currency dynamics more conducive to the possibility of introducing a common peg based on a basket of the European euro, the United States dollar and the Japanese yen than the alternative of re-introducing a United States dollar peg exchange rate regime. Exchange rate systems of 3- 4- and 5- Asian currencies are examined and the dynamics in a set of 4 European currencies prior to the introduction of the Euro provides benchmark evidence. The evidence for an Asian basket peg regime is strengthened when, unlike in prior studies, the long-run parameters are estimated while accounting for generalised autoregressive conditional heteroscedasticity effects.
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-07-16
Keywords: Exchange rate regimesAsiaCurrency pegsBasket exchange rates
Subject LCSH: International finance
Foreign exchange--Asia
Foreign exchange rates--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Status of Item: Not peer reviewed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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