The exchange market contagion in an asymmetric framework before and after Abenomics
學年 104
學期 1
發表日期 2015-10-30
作品名稱 The exchange market contagion in an asymmetric framework before and after Abenomics
作品名稱（其他語言）
著者 Nieh, Chien-Chung; Cho, Hsun-Fang
作品所屬單位
出版者
會議名稱 第十二屆中國金融學年會
會議地點 中國, 湖北省武漢市
摘要 This study analyzes the contagion caused by the currency depreciation war in a multivariate time varying asymmetric framework, focusing on countries competing with Japan for trade during the Abenomic period. We employed not only the linear models of Engle and Granger (1987), and the Johansen (1988) co-integration models but also the Enders and Siklos (2001) asymmetric threshold co-integration model to investigate whether the contagion effects between Japan's exchange rate market and the exchange rate markets of major countries in completion with Japan for export markets before and after Abenomics for the period 2011-2014 existed. The empirical evidence confirms a contagion effect particularly in Asian countries where there is export competition with Japan with the exception of South Korea during Abenomics. The contagion of the Japanese yen depreciation is not transmitted to Australia, the Euro zone (France, Germany, Italy, and Netherlands), Qatar, Saudi Arabia, and USA in competitive trade with Japan. We can apparently find the effect of yen devaluation only occurred in the region of Asia close to Japan and does not spread Europe and America. In general, our results support the contagion phenomenon for Abenomics. Nevertheless, the effect of the contagion is regional not global.
關鍵字 Abenomics;Contagion;Currency depreciation war;Momentum threshold autoregressive (M-TAR)
語言 en
收錄於
會議性質 兩岸
校內研討會地點 無
研討會時間 20151030~20151031
通訊作者 Nieh, Chien-Chung
國別 CHN
公開徵稿
出版型式
出處 第十二屆中國金融學年會論文集
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108707 )