The Pre- and Post-crisis Real Exchange Rate Behavior in Selected East Asian Countries
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- TAGUCHI Hiroyuki
- Director, Cabinet Office, Government of Japan
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This article examines the real exchange rate behavior during pre-crisis post-crisis periods in selected East Asian countries by verifying its long-run stability with unit root tests and investigating the interactions among the component variables of the real exchange rate i.e. the exchange rate the relative prices with a vector autoregressive (VAR) model. The main findings of the study are as follows. First the results of the unit root tests indicate a non-stationarity of the real exchange rate of each sample country during the pre-crisis period. Second, the test results show the stationarity of the real exchange rates in all the sample countries during the combined crisis post-crisis periods although during the post-crisis period alone they do not always remain stationary. Third the results of the VAR model analyses reveal that most of the cases during the combined crisis post-crisis period covering all sample countries support the Granger causality from the relative prices to the exchange rate describe a significant continuous effect of the relative prices on the exchange rate.<br><br>JEL Classification: E44, F33
収録刊行物
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- 地域学研究
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地域学研究 40 (1), 27-40, 2010
日本地域学会
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詳細情報 詳細情報について
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- CRID
- 1390282679410380032
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- NII論文ID
- 130000308179
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- NII書誌ID
- AN00140630
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- ISSN
- 18806465
- 02876256
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- NDL書誌ID
- 10770276
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可