Financial Integration in Asia: A Systemic View on Currency Markets*
文献类型：期刊论文
| 作者 | Zhang, Dayong; Zhao, Wanli; Wu, Fei; Ji, Qiang |
| 刊名 | ASIAN ECONOMIC PAPERS
 |
| 出版日期 | 2020 |
| 卷号 | 19 |
| DOI | 10.1162/asep_a_00754 |
| 英文摘要 | 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. |
| 语种 | 英语 |
| 源URL | [http://ir.casisd.cn/handle/190111/9752]  |
| 专题 | 中国科学院科技战略咨询研究院 |
| 推荐引用方式 GB/T 7714 | Zhang, Dayong,Zhao, Wanli,Wu, Fei,et al. Financial Integration in Asia: A Systemic View on Currency Markets*[J]. ASIAN ECONOMIC PAPERS,2020,19. |
| APA | Zhang, Dayong,Zhao, Wanli,Wu, Fei,&Ji, Qiang.(2020).Financial Integration in Asia: A Systemic View on Currency Markets*.ASIAN ECONOMIC PAPERS,19. |
| MLA | Zhang, Dayong,et al."Financial Integration in Asia: A Systemic View on Currency Markets*".ASIAN ECONOMIC PAPERS 19(2020). |
入库方式： OAI收割
来源：科技战略咨询研究院
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