Reassessing the evidence of an emerging yen block in North and Southeast Asia |
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| Institution: | 1. Department of Economics, Monash University, PO Box 197, Caulfield East, VIC 3145, Australia;2. College of Business, University of Texas at San Antonio, One University Circle, San Antonio, TX 78249, USA;3. Business School, University of Adelaide, 10 Pulteney Street, Adelaide, South Australia 5005, Australia;1. Department of Applied Economics, National University of Kaohsiung, Taiwan;2. Nottingham University Business School, UK;3. CFGE, Loughborough University, UK;4. CESifo, Germany;5. INFER, Germany;6. GRU, City University of Hong Kong, Hong Kong;7. Wenlan School of Business, Zhongnan University of Economics and Law, Wuhan, China;8. SinoAsia Economic and Management Foundation, Taiwan |
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| 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. |
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