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Granger Causality Among Pre-Crisis East Asian Exchange Rates

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  • Joseph D. ALBA
  • Donghyun PARK

Abstract

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 findings provide some empirical support for the presence of systematic relationships that are consistent with the contagious nature of the Asian crisis

Suggested Citation

  • Joseph D. ALBA & Donghyun PARK, 2004. "Granger Causality Among Pre-Crisis East Asian Exchange Rates," Econometric Society 2004 Far Eastern Meetings 697, Econometric Society.
    • Handle: RePEc:ecm:feam04:697
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    File URL: http://repec.org/esFEAM04/up.18551.1080711410.pdf
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    References listed on IDEAS

    as
    1. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    More about this item

    Keywords

    Causality; exchange rate; East Asia; contagion; crisis;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East

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