This paper is a pioneering attempt to include India with east and Southeast Asia to study the existence of the economic criteria for a common currency. The analysis in this paper shows that significant complementarities in trade exist among these countries, most of them experience similar shocks...

This paper untangles the causes behind real exchange rate devaluation events with particular attention paid to the Sudden Stop of capital flows. By utilizing cumulative impulse response function and variance decomposition analysis, we argue that there is the asymmetric response across Sudden...

Since the start of the 1990s, several countries have abandoned fixed- but-adjustable exchange rate regimes. The tendency towards floating exchange rate regimes, or alternatively monetary unions, has given rise to a debate on the disappearance of pure currency crises, and the literature has...

We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s based on a GARCH framework. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the success of interventions varies over...

This paper examines the exchange rate pass-through to yen based manufactured import prices of Japan using asymmetric unit root and cointegration tests and asymmetric models. Due to sticky prices, for example, there are reasons to believe that the degree of pass-through depends on whether the...

By applying the newly developed nonlinear stationary test advanced by Kapetanois et al. [Journal of Econometrics 112 (2003) 359 - 379] in examining the stationary property of 11 Asian real exchange rates, this paper rejects unit root in 8 US dollar based and 6 Japanese yen based rates, whereas...

During the 1990’s the Japanese yen proved astonishingly strong despite the persisting recession. This paper tracks the origins of the high yen. It analyses the influence of interest rates, prices and foreign exchange policy on the yen-dollar exchange rate. It comes to the conclusion that real...

In the current policy debate, it is often argued that foreign exchange interventions by Asian central banks lead to an excessive appreciation of the euro against the dollar. This paper shows that in a three asset portfolio model the opposite holds: Interventions by Japan's central bank...

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...