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- W2016345378 abstract "This is a study of the stochastic properties of Asian exchange rates and of cointegration between the Japanese yen and two sets of Asian currencies, i.e., currencies of the ‘Tigers’, Hong Kong, South Korea, Singapore, and Taiwan; and currencies of the ASEANs, Malaysia, Philippines, Thailand, and Singapore. Using a longer time horizon than other cointegration studies and accounting for deviations from normality, non-stationarity, and the presence of unit roots, it is documented that (in contrast to the findings for the major currencies) both sets of Asian currencies are found to be cointegrated, with the influence of the Japanese yen increasing relative to the US dollar in recent years. This evidence of cointegration between the Yen and other Asian currencies has important implications for understanding Asian financial integration, the increasing international role of the Japanese yen, and for developing asset allocation and crosshedging strategies for investments denominated in these Asian currencies." @default.
- W2016345378 created "2016-06-24" @default.
- W2016345378 creator A5016284165 @default.
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- W2016345378 date "1996-09-01" @default.
- W2016345378 modified "2023-09-27" @default.
- W2016345378 title "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen" @default.
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- W2016345378 doi "https://doi.org/10.1016/0922-1425(96)88806-2" @default.
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