Financial Integration in Asia: A Systemic View on Currency Markets*

doi:10.1162/asep_a_00754

	Financial Integration in Asia: A Systemic View on Currency Markets*
	Zhang, Dayong; Zhao, Wanli; Wu, Fei; Ji, Qiang
刊名	ASIAN ECONOMIC PAPERS
	2020
卷号	19
DOI	10.1162/asep_a_00754
英文摘要	Using a systemic approach, this study investigates the time-varying linkages among currency markets of Japan, the People's Republic of China, the Republic of Korea, and the five core ASEAN economies to understand financial integration in Asia. We first construct a vector autoregressive model and use the Diebold and Yilmaz (2014) approach to quantitatively identify the connectedness within the system, accompanied by a rolling-window approach to allow for time-varying dynamics and pairwise Granger causality tests to check the robustness of our main results. We find that though systemic interconnectedness varies over time, the Singapore dollar is constantly a top net contributor, explaining most of the variation in East Asian currency markets.
语种	英语
内容类型	期刊论文
源URL	[http://ir.casisd.cn/handle/190111/9752]
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Zhang, Dayong,Zhao, Wanli,Wu, Fei,et al. Financial Integration in Asia: A Systemic View on Currency Markets*[J]. ASIAN ECONOMIC PAPERS,2020,19.
APA	Zhang, Dayong,Zhao, Wanli,Wu, Fei,&Ji, Qiang.(2020).Financial Integration in Asia: A Systemic View on Currency Markets*.ASIAN ECONOMIC PAPERS,19.
MLA	Zhang, Dayong,et al."Financial Integration in Asia: A Systemic View on Currency Markets*".ASIAN ECONOMIC PAPERS 19(2020).