Advanced search
Publication Cover
Applied Economics Letters Volume 26, 2019 - Issue 6
Submit an article Journal homepage
300
Views
3
CrossRef citations to date
0
Altmetric
Articles

Changing patterns of Asian currencies’ co-movement with the US dollar and the Chinese renminbi: Evidence from a wavelet multiresolution analysis

Lei. XuGraduate School of Economics, Kobe University, KobeJapanView further author information
&
Takuji. KinkyoGraduate School of Economics, Kobe University, KobeJapanCorrespondence[email protected]
View further author information
Pages 465-472 | Published online: 25 Jun 2018

References

  • Cai, X.-J., S. Tian, N. Yuan, and S. Hamori. 2017. “Interdependence between Oil and East Asian Stock Markets: Evidence from Wavelet Coherence Analysis.” Journal of International Financial Markets, Institutions and Money 48 (c): 206–223. doi:10.1016/j.intfin.2017.02.001.
  • Cohen, B. J. 2008. “After the Fall: East Asian Exchange Rates since the Crisis.” In Crisis as Catalyst: Asia’s Dynamic Political Economy, edited by A. Macintyre, T. J. Pempel, and J. Ravenhill, 25–44. Ithaca: Cornell University Press.
  • Faria, G., and F. Verona. 2018. “Forecasting Stock Market Returns by Summing The Frequency Decomposed Parts.” Journal Of Empirical Finance 45: 228-242. doi: 10.1016/j.jempfin.2017.11.009.
  • Fernandez, V. 2006. “The CAPM and Value at Risk at Different Time-Scales.” International Review of Financial Analysis 15 (3): 203–219. doi:10.1016/j.irfa.2005.02.004.
  • Frankel, J. A., and S.-J. Wei. 1994. “Yen Block or Dollar Block? Exchange Rate Policies in East Asian Economies.” In Macroeconomic Linkages: Savings, Exchange Rates, and Capital Flows, edited by T. Ito, and A. O. Krueger, 295–329. Chicago: University of Chicago Press.
  • Haldane, A. G., and S. G. Hall. 1991. “Sterling’s Relationship with the Dollar and the Deutschemark: 1976–89.” Economics Journal 101 (406): 436–443. doi:10.2307/2233550.
  • In, F., and S. Kim. 2006a. “The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis.” Journal of Business 79 (2): 799–820. doi:10.1086/499138.
  • In, F., and S. Kim. 2006b. “Multiscale Hedge Ratio between the Australian Stock and Future Markets: Evidence from Wavelet Analysis.” Journal of Multinational Financial Management 16 (4): 411–423. doi:10.1016/j.mulfin.2005.09.002.
  • Ito, T. 2016. “A New Financial Order in Asia: Will A RMB Block Emerge?” NBER Working Paper 22755. Cambridge, MA: National Bureau of Economic Research.
  • McKinnon, R. I. 2005. Exchange Rates under the East Asian Dollar Standard: Living with Conflicted Virtue. Cambridge, MA: MIT Press.
  • Percival, D. B., and A. T. Walden. 2000. Wavelet Methods for Time Series Analysis. Cambridge: Cambridge University Press.
  • Wang, G.-J., C. Xie, and S. Chen. 2017. “Multiscale Correlation Networks Analysis of the US Stock Market: A Wavelet Analysis.” Journal of Economic Interaction and Coordination 12 (3): 561–594.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.