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Financial Integration in Asia: A Systemic View on Currency Markets

Author

Listed:
  • Dayong Zhang

    (Research Institute of Economics and Management Southwestern University of Finance and Economics 555 Liutai Avenue Chengdu, People's Republic of China, 611130)

  • Wanli Zhao

    (School of Economics & Management Beihang University 37 Xueyuan Road Beijing, People's Republic of China, 100191)

  • Fei Wu

    (Department of Economics University of Birmingham Edgbaston, Birmingham, UK, B15 2TT)

  • Qiang Ji

    (Institutes of Science and Development Chinese Academy of Sciences 15 Zhongguancunbeiyitiao Alley Beijing, People's Republic of China, 100190)

Abstract

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.

Suggested Citation

  • Dayong Zhang & Wanli Zhao & Fei Wu & Qiang Ji, 2020. "Financial Integration in Asia: A Systemic View on Currency Markets," Asian Economic Papers, MIT Press, vol. 19(2), pages 41-58, Summer.
    • Handle: RePEc:tpr:asiaec:v:19:y:2020:i:2:p:41-58
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    References listed on IDEAS

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    Cited by:

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