Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model
In this study, we aim to investigate whether ASEAN-5 and the Korean currency regimes are ready to use Japanese Yen as an Asian future Exchange Rate Mechanism (AERM) by using Multivariate GARCH models. Overall findings show that Singapore, Thailand, and Korea are the potential countries that ready to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Management, Universiti Putra Malaysia
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/38043/ http://psasir.upm.edu.my/id/eprint/38043/1/Yen%20Synchronization%20among%20ASEAN-5%2C%20Korea%20and%20Japan.pdf |
| _version_ | 1848848768812711936 |
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| author | Wong, Kelly Kai Seng Lee, Chin Mohamed, Azali |
| author_facet | Wong, Kelly Kai Seng Lee, Chin Mohamed, Azali |
| author_sort | Wong, Kelly Kai Seng |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | In this study, we aim to investigate whether ASEAN-5 and the Korean currency regimes are ready to use Japanese Yen as an Asian future Exchange Rate Mechanism (AERM) by using Multivariate GARCH models. Overall findings show that Singapore, Thailand, and Korea are the potential countries that ready to adopt Japanese Yen as an AERM. However, Malaysian Ringgit, Indonesian Rupiah and the Philippines Peso are weakly correlated with Japanese Yen. This indicates that the East Asian free trade agreement such as ASEAN-10+3 and EAFTA does not enough to promote these low dynamic correlation countries (Malaysia, Indonesia, and the Philippines). Perhaps, the appropriate way to begin the AERM is to form a group of currency system which highly correlated with Japanese Yen (e.g. Singapore, Thailand, and Korea) whiles others could have a commitment to adopt Japanese Yen as a regional trade-invoicing currency in order to increase the level of Yen synchronization correlation. |
| first_indexed | 2025-11-15T09:39:45Z |
| format | Article |
| id | upm-38043 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:39:45Z |
| publishDate | 2015 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-380432016-02-02T03:54:18Z http://psasir.upm.edu.my/id/eprint/38043/ Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model Wong, Kelly Kai Seng Lee, Chin Mohamed, Azali In this study, we aim to investigate whether ASEAN-5 and the Korean currency regimes are ready to use Japanese Yen as an Asian future Exchange Rate Mechanism (AERM) by using Multivariate GARCH models. Overall findings show that Singapore, Thailand, and Korea are the potential countries that ready to adopt Japanese Yen as an AERM. However, Malaysian Ringgit, Indonesian Rupiah and the Philippines Peso are weakly correlated with Japanese Yen. This indicates that the East Asian free trade agreement such as ASEAN-10+3 and EAFTA does not enough to promote these low dynamic correlation countries (Malaysia, Indonesia, and the Philippines). Perhaps, the appropriate way to begin the AERM is to form a group of currency system which highly correlated with Japanese Yen (e.g. Singapore, Thailand, and Korea) whiles others could have a commitment to adopt Japanese Yen as a regional trade-invoicing currency in order to increase the level of Yen synchronization correlation. Faculty of Economics and Management, Universiti Putra Malaysia 2015-06 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/38043/1/Yen%20Synchronization%20among%20ASEAN-5%2C%20Korea%20and%20Japan.pdf Wong, Kelly Kai Seng and Lee, Chin and Mohamed, Azali (2015) Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model. International Journal of Economics and Management, 9 (1). pp. 115-138. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol9no1/6.%20Yen%20Synchronization%20among%20ASEAN-5,%20Korea%20and%20Japan.pdf |
| spellingShingle | Wong, Kelly Kai Seng Lee, Chin Mohamed, Azali Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title | Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title_full | Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title_fullStr | Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title_full_unstemmed | Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title_short | Yen synchronization among ASEAN-5, Korea and Japan: evidence from the multivariate GARCH model |
| title_sort | yen synchronization among asean-5, korea and japan: evidence from the multivariate garch model |
| url | http://psasir.upm.edu.my/id/eprint/38043/ http://psasir.upm.edu.my/id/eprint/38043/ http://psasir.upm.edu.my/id/eprint/38043/1/Yen%20Synchronization%20among%20ASEAN-5%2C%20Korea%20and%20Japan.pdf |