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Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

Au Yong, HH; Gan, C; Treepongkaruna, Sirimon

Description

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]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/88696
Source: International Review of Financial Analysis
DOI: 10.1016/j.irfa.2004.02.024

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