Yen-synchronization of floating East Asian currencies: A regime-switching regression model and micro-structural analysis

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Kim, Bong-Han, Min, Hong-Ghi, McDonald, Judy, and Hwang, Young-Soon-Yen-synchronization of floating East Asian currencies: A regime-switching regression model and micro-structural analysis Using a regime-switching regression model, we find evidence of synchronization between the Swiss-franc exchange rates of floating East Asian currencies and the Swiss-franc-Japanese-yen exchange rate over the period 1999-2006. The volatility of Swiss-franc-East-Asian currencies' exchange rates is higher during the synchronization period than during the de-synchronization period. Contrary to traditional arguments concerning the yen-bloc, we find that the Export-Similarity Index and Foreign Portfolio Investment between Japan and East Asian countries are the two main determinants of yen-synchronization in the region. Finally, microstructural analysis shows that the weeks of synchronization is greater when the yen is strong for Korea and Taiwan, but there are no asymmetric responses for Thailand. Indonesia, or the Philippines. J. Japanese Int. Economies 26 (2) (2012) 221-232. Department of International Economics, Kongju National University, Kongju, Chung-Nam, Republic of Korea; Department of Management Science, Korea Advanced Institute of Science and Technology, Daejun, Republic of Korea; Department of Economics, Lehigh University, Bethlehem, PA 18015, United States; Busan Development Institute, Busan, Republic of Korea. Crown Copyright (C) 2012 Published by Elsevier Inc. All rights reserved.
Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
Issue Date
2012-06
Language
English
Article Type
Article
Keywords

EXCHANGE-RATE REGIMES; COINTEGRATION; CRISIS; BASKET; BLOC

Citation

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES, v.26, no.2, pp.221 - 232

ISSN
0889-1583
DOI
10.1016/j.jjie.2012.01.002
URI
http://hdl.handle.net/10203/101950
Appears in Collection
RIMS Journal Papers
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