We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gau’s (1997) “official band†model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our...

The important concept of purchasing power parity (PPP) has a number of practical implications. Our central objective is to examine the stationarity of Turkey’s real exchange rates to test for the empirical validity of PPP. Our results from conventional univariate unit root tests fail to...

This paper investigates causes of the recent sharp decline in the money multiplier in Japan from the bank side. Two candidates for the cause are examined: the first is the worsening of the banks’ financial soundness, and the second is the zero interest rate policy. Using panel data of...

This paper is a first step toward building a new macroeconomic model that is usable for analyzing the effects of shocks that originate in Japan on Asian economies. The new framework borrows its central ingredients from the literature of the “new open economy macroeconomicsâ€, that is...

Using the tick-by-tick yen/dollar exchange rate, this paper examines the effect of Japanese banking crisis in late 1997 on the foreign exchange market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence of a structural break in the foreign exchange market at...