Japanese yen and East-Asian currencies: Before and after the Asian financial crisis

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The purpose of this paper is to investigate whether the impact of the Japanese yen on the values of East Asian currencies has increased since the 1997 East Asian financial crisis. In particular, this paper focuses on four crisis-affected countries: Indonesia, the Republic of Korea, the Philippines and Thailand. To this end, this paper estimates the weights of the Japanese yen in the determination of the values of the East Asian currencies using daily exchange rate data sets covering the pre-crisis period from January 1990 to June 1997 and the post-crisis period from January 1999 to June 2003. Empirical test results indicate that the impact of the Japanese yen on East Asian currencies has increased since the crisis. The null hypothesis that the weight of the Japanese yen remains the same is rejected for all four countries examined, supporting the alternative that it has increased since the financial crisis.

Original languageEnglish
Pages (from-to)271-287
Number of pages17
JournalJournal of the Asia Pacific Economy
Volume9
Issue number3
DOIs
Publication statusPublished - 2004 Nov 29
Externally publishedYes

Keywords

  • Cointegration test
  • East Asian exchange rates
  • Financial crisis
  • Japanese yen
  • Structural break

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Development
  • Political Science and International Relations

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