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

研究成果: Article

1 引用 (Scopus)

抄録

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.

元の言語English
ページ(範囲)271-287
ページ数17
ジャーナルJournal of the Asia Pacific Economy
9
発行部数3
DOI
出版物ステータスPublished - 2004
外部発表Yes

Fingerprint

financial crisis
currency
exchange rate
Philippines
Thailand
Korea
Indonesia
Values
republic

ASJC Scopus subject areas

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

これを引用

@article{300b4cda314046f1b9d566bb29e7f080,
title = "Japanese yen and East-Asian currencies: Before and after the Asian financial crisis",
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.",
keywords = "Cointegration test, East Asian exchange rates, Financial crisis, Japanese yen, Structural break",
author = "Baak, {Saang Joon}",
year = "2004",
doi = "10.1080/1354786042000272955",
language = "English",
volume = "9",
pages = "271--287",
journal = "Journal of the Asian Pacific Economy",
issn = "1354-7860",
publisher = "Routledge",
number = "3",

}

TY - JOUR

T1 - Japanese yen and East-Asian currencies

T2 - Before and after the Asian financial crisis

AU - Baak, Saang Joon

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

KW - Cointegration test

KW - East Asian exchange rates

KW - Financial crisis

KW - Japanese yen

KW - Structural break

UR - http://www.scopus.com/inward/record.url?scp=8744270427&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=8744270427&partnerID=8YFLogxK

U2 - 10.1080/1354786042000272955

DO - 10.1080/1354786042000272955

M3 - Article

AN - SCOPUS:8744270427

VL - 9

SP - 271

EP - 287

JO - Journal of the Asian Pacific Economy

JF - Journal of the Asian Pacific Economy

SN - 1354-7860

IS - 3

ER -