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Exchange rate linkages between the ASEAN currencies, the US Dollar and the Chinese RMB
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2016
This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined...
Persistent link: https://www.econbiz.de/10011502929
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Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period … analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …
Persistent link: https://www.econbiz.de/10011982404