Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises
This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the...[Show more]
|Collections||ANU Research Publications|
|Source:||International Review of Financial Analysis|
|01_Au Yong_Cointegration_and_causality_in_2004.pdf||1.2 MB||Adobe PDF||Request a copy|
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