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Post-crisis Exchange Rate Regimes in ASEAN : A New Empirical Test Based on Intra-daily Data
http://hdl.handle.net/2261/2862
http://hdl.handle.net/2261/2862f1d0016e-6971-46ee-a8c9-6e55549ce041
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-06-03 | |||||
| タイトル | ||||||
| タイトル | Post-crisis Exchange Rate Regimes in ASEAN : A New Empirical Test Based on Intra-daily Data | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classification numbers: F31, F33, F36 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | exchange rate regime | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | intra-daily data | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | currency basket | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | ASEAN | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Fukuda, Shin-ichi
× Fukuda, Shin-ichi× Ohno, Sanae |
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| 著者所属 | ||||||
| 値 | University of Tokyo | |||||
| 著者所属 | ||||||
| 値 | Musashi University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The purpose of this paper is to investigate what affected the post-crisis exchange rates of three ASEAN countries: Singapore, Thailand, and Malaysia. Our critical departure from previous studies is the use of intra-daily exchange rates. The use of the intra-daily data is useful in removing possible estimation biases which the choice of numeraire may cause. It can also contrast exchange rate movements during the time zone when the government intervention is active with those when the intervention is not active. We examine how and when the ASEAN currencies changed their correlations with the U.S. dollar and the Japanese yen. We find significant structural breaks in the correlations during the time zone when East Asian market is open. In the post-crisis period, the first structural break happened when Malaysia adopted the fixed exchange rate and the second break happened when some East Asian countries introduced inflation targeting. The structural breaks suggest strong monetary and real linkages among the ASEAN countries. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-441, 発行日 2006-10 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf441ab.html | |||||
