Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB

Caporale, Guglielmo Maria; Gil-Alana, Luís A.; You, Kefei

doi:10.1016/j.ribaf.2017.07.091

Cited by 10 publications

(3 citation statements)

References 54 publications

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“…The improving integration of ASEAN financial markets could be the reason for the increasing linkages between ASEAN currencies after 2015. The result is consistent with the conclusion by Caporale et al [14], who found that the ASEAN currencies are much more interlinked than previously thought. The upward trend of these correlations should encourage investors and policy-makers to be cautious about the systematic risks from exchange rate co-movements in the regional currency markets, especially when there is downward pressure on exchange rates.…”

Section: Meansupporting

confidence: 93%

“…However, there have been few studies that focused on the interdependence between the Chinese RMB and the ASEAN currencies. Caporale et al [14] investigated the linkages between ASEAN currencies and the RMB and the US dollar, and highlighted the increasingly important role of the RMB in ASEAN currency markets. To the best of our knowledge, no research has examined the dependence structure and its dynamic characteristics between the exchange rates of RMB and ASEAN currencies.…”

Section: Literature Reviewmentioning

confidence: 99%

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Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Liu

Sriboonchitta

2019

Sustainability

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Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries. The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to investigate the changing role of the Renminbi (RMB) in the ASEAN foreign exchange markets. The results indicate a positive dependence between the exchange rate returns of CNY and the currencies of ASEAN countries and show the rising power of RMB in the regional currency markets after the B&R Initiative was launched. Besides this, the Malaysian Ringgit proved to be most relevant to the other ASEAN currencies, thus playing an important role in the stability of regional financial markets. Moreover, evidence of tail dependence was found in the returns of three currency pairs after the B&R Initiative, which implies the presence of asymmetric dependence between exchange rates. The results from time-varying C-vine copulas further confirmed the robustness of the results from the static C-vine copulas.

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Section: Meansupporting

confidence: 93%

Section: Literature Reviewmentioning

confidence: 99%

Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Liu

Sriboonchitta

2019

Sustainability

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“…However, given China's growing size and increasingly important financial role, some recent studies have started analyzing its regional influence. In particular, some of them have examined the currency markets and highlighted the rising impact of the Renminbi on the Asian currencies (e.g., Caporale, Gil-Alana, and You 2018;Fratzscher and Mehl 2014;Shu 2010;Shu et al 2015;Subramanian and Kessler 2012). Concerning the money market, Liu et al (2013) found that real interest parity holds for ten East Asian countries that are significantly influenced by external factors originating from China.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach

Caporale

Gil-Alana

You

2021

Emerging Markets Finance and Trade

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This paper examines stock market integration between the five ASEAN countries and both the US and China in turn, over the period from November 2002 to August 2020. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analyzed using fractional integration and fractional cointegration methods. Further, recursive cointegration analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China stock market crash on the pattern of stock market co-movement. The main findings are the following. All stock indices exhibit long-range dependence. There is cointegration between the five ASEAN countries and the US but almost none between the former and China, except between Indonesia and China in the case of the financial sector. The 2007-8 global financial crisis and the 2015 Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these results for market participants and policy makers are discussed.

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The rise of a new anchor currency in RCEP? A tale of three currencies

Guo¹,

Zhou

2021

Economic Modelling

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Exchange rate linkages between the ASEAN currencies, the US dollar and the Chinese RMB

Cited by 10 publications

References 54 publications

Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach

The rise of a new anchor currency in RCEP? A tale of three currencies

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