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Riadh El Abed
''On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach''
( 2017, Vol. 37 No.3 )
This study examines the interdependence of six daily East Asian exchange rates: INR (Indonesia), SGD (Singapore), THB (Thailand), KRW (South Korea), PHP (Philippine) and MYR (Malaysia) expressed in US dollar. Focusing on different phases of the global financial and Asian crises, the aim of this paper is to examine how the dynamics of correlations between East Asian exchange markets evolved from January 01, 1995 to September 30, 2015. To this end, we adopt a dynamic conditional correlation (DCC) model into a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) framework, which accounts for long memory, power effects, leverage terms and time varying correlations. The empirical findings indicate a general pattern of decrease in exchange rates correlations during the phase of recession and the first phase of the global financial crisis, suggesting the depreciation against US dollar and different vulnerability of the currencies.
Keywords: DCC-FIAPARCH, Asymmetries, Long memory, East Asian exchange rates.
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : May 06 2016 Manuscript Accepted : Sep 27 2017

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