Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142794
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
You, Kefei
Year of Publication: 
2016
Series/Report no.: 
DIW Discussion Papers 1590
Abstract: 
This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined structural breaks is estimated for these purposes (Gil-Alana, 2008). The results suggest that the ASEAN currencies are much more interlinked than previously thought, whether or not breaks are taken into account, which provides support for a regional currency index as an anchor. Moreover, incorporating a break shows that the linkages between these currencies and the RMB and the US dollar respectively are equally important, and in fact in recent years the former have become stronger than the latter. Therefore including the RMB in the regional index should be considered.
Subjects: 
ASEAN currencies
Chinese RMB
US dollar peg
fractional integration
breaks
JEL: 
F31
C22
Document Type: 
Working Paper

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