DP
RIETI Discussion Paper Series 15-E-037
Effects of a Quantitative Easing Monetary Policy Exit Strategy
on East Asian Currencies
OGAWA Eiji
RIETI
WANG Zhiqian
Hitotsubashi University
The Research Institute of Economy, Trade and Industry
http://www.rieti.go.jp/en/
RIETI Discussion Paper Series 15-E-037
March 2015
Effects of a Quantitative Easing Monetary Policy Exit Strategy on East
Asian Currencies *
OGAWA Eiji † (Hitotsubashi University/RIETI)
WANG Zhiqian ‡ (Hitotsubashi University)
Abstract
The Federal Reserve Board (FRB) of the United States has decided to end its
quantitative easing monetary policy as the global financial crisis is subsiding there. It is
expected that it will raise the federal funds (FF) rate from almost zero in the near
future. Large amounts of money which flowed from the United States into emerging
market countries are beginning to flow back to it. As a result, the emerging market
countries are beginning to face depreciation of their home currencies and drops in stock
prices. Based on this situation in the global economy, we consider the effects of changes
in the monetary policy, especially the effects of raising the interest rates in the United
States on East Asian currencies in this paper. Specifically, we use data on interest rates
as a monetary policy instrument to investigate how changes in the interest rates in the
United States affect interest rates, exchange rates, and capital flows in the East Asian
emerging market countries. Given the analytical results, we conclude that East Asian
countries would face capital outflows that depreciate their home currencies while
having upward pressure against their own interest rates if the FRB adopts a
quantitative easing monetary policy exit strategy and raises the interest rates.
Keywords: FRB, Quantitative easing monetary policy, Exit strategy, East Asian
emerging market economies, East Asian currencies, Capital flows
JEL Classification Codes: E58, F42
RIETI Discussion Papers Series aims at widely disseminating research results in the form of
professional papers, thereby stimulating lively discussion. The views expressed in the papers are solely
those of the author(s), and neither represent those of the organization to which the author(s) belong(s)
nor the Research Institute of Economy, Trade and Industry.
This study is conducted as a part of the project “Research on Currency Baskets”
undertaken at Research Institute of Economy, Trade and Industry (RIETI). This paper
is a revised version of the paper on "How would East Asian Currencies Respond to the
FRB's Raising Interest Rates?" that is compiled with financial support of the Bank of
Korea. The authors are grateful to Takatoshi Ito, Shin-ichi Fukuda, Takashi Kano, and
the participants at the international conferences at Korea Institute of Industrial
Economics and Trade (KIET), Seoul, Korea on September 18–19, 2014, at
RIETI-CASS-CESSA Joint Workshop on December 13, 2014, at the ADBI on February
17, 2015, at Complutense University of Madrid on February 20, 2015, at TCER
Conference on March 5, and at the research seminar of RIETI for their useful comments
and suggestions.
† Graduate School of Commerce and Management, Hitotsubashi University and
Faculty Fellow of Research Institute of Economy, Trade and Industry. Email:
eiji.ogawa@r.hit-u.ac.jp
‡ Graduate School of Commerce and Management, Hitotsubashi University.
1
*
1. Introduction
Six years have passed since the global financial crisis happened with the Lehman
shock as a trigger. Each country in the world has been going toward economic recovery
or slump in an asymmetric direction. Among them, the United States, that was an
epicenter of the global financial crisis, has begun to overcome economic slump and begin
to be back on track because the Federal Reserve Board (FRB) has been conducting a
large scale of quantitative easing monetary policy. On the other hand, the euro zone
crisis is calming down in Europe after some European countries faced the similar
financial crisis related with the subprime mortgage problems as the United States and
fiscal crisis subsequently. Establishing the European Stability Mechanism (ESM) which
makes direct capital injection into financial institutions contribute to it. In Japan, the
Bank of Japan is conducting a quantitative and qualitative easing monetary policy in
order to escape from the long-term deflation or “lost decade” though Japan faced little
influence by the global financial crisis.
The global financial crisis affected also emerging market countries’ economy
through the United States and European economies. Immediately after the Lehman
shock, governments of major developed countries adopted large scale of measures to
boost economy. Although they have begun to recover from the worldwide recession, it is
still lacking in strength for them to recover aggregate demand and economic growth. In
addition, central banks of developed countries have been conducting quantitative easing
monetary policy. In this situation, financial globalization makes the abundant money
move around the world. The abundant money was flowed from the developed countries
into in particular, remarkably growing economy of emerging market countries as
investments with high returns. However, the FRB decided to reduce its quantitative
easing monetary policy as the global financial crisis is subsiding in. Moreover, it
finished further increases in monetary base in October 2014. They have fear that the
FRB’s action might make the money flow backward from emerging market countries
into the United States to depreciate their currencies and to decrease stock prices.
While the FRB has stopped an increase in the amount of quantitative easing, the
Bank of Japan is continuing the quantitative and qualitative easing monetary policy in
order to accomplish 2% of inflation targeting. The European Central Bank (ECB) has
begun to adopt minus interest rate for deposit facility and excess reserves. Thus,
differences in timing of conducting monetary policy among the developed countries
could affect capital flows and exchange rates not only among the developed countries
but also among the developing countries and the emerging market countries. Many of
the emerging market countries have fear that an exit strategy of quantitative easing
2
monetary policy of the FRB would make money flow backward from the emerging
market countries into the United States to have adverse effects on their economies.
Given the current situation of global economy, this paper has an objective to
investigate how changes in monetary policy in the developed countries affect emerging
market country economy in East Asia. Specifically, it makes empirical analysis of how
changes in interest rates of the developed countries affect interest rates and exchange
rates of East Asian emerging market countries. Moreover, it is to analyze empirically
how changes in interest rates of the developed countries affect capital flows of East
Asian emerging market countries.
2. FRB’s exit strategy from quantitative easing monetary policy
A large shock was given to financial markets in the world when a fund affiliated to
the BNP Paribas suspended payments of investment trust in August 2007. Afterward
the Lehman Brothers went bankrupt with $600 million of total debts in September 2008.
The series of shocks (BNP Paribas shock and Lehman shock) were originally caused by
burst of housing bubble based on subprime mortgage, that is, housing loan for lower
income group in the United States. The subprime mortgage problem, which appeared in
summer of 2007, increased its seriousness by the Lehman shock in 2008. Moreover, the
subprime mortgage problem has affected not only the United States but also European
countries.
The FRB rapidly reduced the Federal Fund (FF) rate as its policy interest rate in
order to tackle with the global financial crisis that was developed by the subprime
mortgage problem in the United States. The FF rate, which was set to be 5.25% in July
2007, was reduced to 0.5% in September 2008 when the Lehman shock happened. The
Federal Open Market Committee (FOMC) of the FRB decided to set the target of FF
rate at 0% - 0.25% on 16 December, 2008. Afterwards it has been actually kept at an
ultra- low rate around 0.1%.
In addition to the ultra-low interest rate policy, the FRB adopted the first round of
quantitative easing monetary policy (Board of Governors of the Federal Reserve System
(2014a, 2014b)). The FRB purchased $300 billion of long-term Treasury securities, $1.25
trillion of mortgage-backed securities (MBS), and $175 billion of other securities to
increase its monetary base from $300 billion in September 2008 to $2.1 trillion in March
2010. At the same time, the FRB began to show a forward guidance which suggest to
continue the quantitative easing monetary policy for the future.
Next, the FRB conducted the second round of quantitative easing monetary policy
(QE2) from November 2010 to June 2011. It purchased $600 billion of long-term
3
Treasury securities with a pace of $75 billion per month. Thus, the monetary base
reached at $2.64 trillion in June 2011. Moreover, the FRB has adopted the third round
of quantitative easing monetary policy (QE3) since September 2012. It purchased $40
billion of MBS and $45 billion of long-term Treasury securities per month till December
2012 to increase the monetary base at a pace of $85 billion per month.
However, the FRB has slowed down the pace of purchasing MBS and long-term
Treasury securities toward an exit strategy of quantitative easing monetary policy since
January 2014. Figure 1 shows that amounts of MBS and long-term Treasury securities
purchased by the FRB reached its peak early in 2013 and has had a tendency to
decrease afterward. Specifically, the FRB reduced amounts of purchasing MBS from
$40 billion per month to $35 billion per month and long-term Treasury securities from
$45 billion per month to $40 billion per month in January 2014. It has been reducing
the amounts of purchasing MBS and long-term Treasury securities every month. For
the reason, a growth rate of the monetary base has been slowing down. Eventually, the
FRB decided to purchase no MBS and long-term Treasury securities per month at the
FOMC on October 29, 2014. At the point of time the FRB finished the quantitative
easing monetary policy and accomplished the exit strategy of quantitative easing
monetary policy.
The FOMC made a statement “the Committee continues to anticipate, based on its
assessment of these factors, that it likely will be appropriate to maintain the current
target range for the federal funds rate for a considerable time after the asset purchase
program ends, especially if projected inflation continues to run below the Committee's 2
percent longer-run goal, and provided that longer-term inflation expectations remain
well anchored” (Board of Governors of the Federal Reserve System (2014d)). Chair
Yellen of FRB referred that “a considerable time” is about six months at the press
conference after the FOMC on 19 March, 2014 (Board of Governors of the Federal
Reserve System (2014c)). It suggests that the FRB will begin to raise the FF rate six
month later after it finishes the quantitative easing monetary policy. It means a switch
from the exit strategy of the quantitative easing monetary policy to a conventional
monetary policy of raising the interest rates. For the reason, market participants expect
that interest rates in United States will begin to increase in the mid of 2015.
On one hand, such FRB’s exit strategy of the quantitative easing monetary policy
as reducing the quantitative easing monetary policy and removing the zero interest rate
policy is expected to flow the money from emerging market countries back to the United
States. They are worried that the flow back of the money will bring about drop of stock
4
prices in emerging market countries and depreciation of the currencies 1.
3. Effects of the global financial crisis on East Asia
The global financial crisis had little direct effects on financial institutions in East
Asian countries which include Japan because they held not so much subprime
mortgages and subprime mortgage backed securities unlike financial institutions in the
United States and Europe. However, the global financial crisis brought about severe
worldwide economic recession, which drastically reduced exports from East Asia to the
United States and Europe. Moreover, speculative money inflows into East Asia came to
a sudden stop and moreover it flows backward from East Asia as the global financial
crisis became more serious. Thus, East Asian currencies were indirectly affected by the
global financial crisis.
More specifically, financial institutions of the United States and Europe made
active currency carry-trade, especially yen carry-trade before the global financial crisis
occurred. The super low interest rate monetary policy is pointed out as a background for
the yen carry trades. Figure 2 shows that the Japanese yen denominated interest rates
were kept at very low level compared with the dollar and euro denominated interest
rates. Financial institutions exploited the interest differentials to raise money in terms
of the Japanese yen with a lower interest rate and invested in financial assets in terms
of currency with a higher interest rate. The carry trades affected capital flows within
East Asian region. Moreover, they had some relationship with changes in capital flows
or rebounds of capital flows.
Yen carry trades between lower interest rate of the Japanese yen and higher
interest rates of the Korean won were very active from 2005 to summer in 2007 (Ogawa
and Wang (2013)). Figures 3 show asset and liability balance (net position) of
international banks for Japan and Korea 2 . The two figures show that Japan had
outflows of capital before the global financial crisis occurred and that it had rapid
inflows of capital as US and European financial institutions close the carry trades
because they damaged their balance sheet during the global financial crisis. On one
hand, Korea continued to have capital inflows before the global financial institutions.
Afterward, it was hit by sudden capital outflows as the carry trades closed.
The capital flows from Japan to Korea depreciated the Japanese yen against the
For more detail, see IMF (2013a, 2013b) for a summary of unconventional monetary
policies.
2 Assets and liabilities balance (net position) is defined as a balance of outstanding
assets and outstanding liabilities. Positive net position represents capital outflows
while negative net position represents capital inflows.
1
5
Korean won before the global financial crisis. The global financial crisis changed capital
flows from Korea to Japan because the US and European financial institutions closed
the yen carry trades. Thus, the Korean won abruptly depreciated against the Japanese
yen during the global financial crisis.
The divergent movements in intra-regional exchange rates among East Asian
currencies have occurred since 2005 and have continued till the recent years. The
movements have brought about misalignments among the currencies. The currency
misalignments might distort relative prices of products that are made in each of East
Asian countries to make misallocation of resources in not only international trades but
also foreign direct investments. It might have adverse effects on establishing production
networks in East Asia.
Figures 4 show movements in nominal and real AMU Deviation Indicators for each
of East Asian currencies 3. Figure 4(1) shows that the Brunei dollar, the Singapore dollar,
Malaysian ringgit, and Chinese yuan have fluctuated within plus/minus 10% of band in
terms of nominal AMU Deviation Indicators during the sample period. On one hand, the
Indonesian rupiah and the Vietnamese dong have been depreciating over time.
Especially the Vietnamese dong has depreciated by about 50% point compared with a
benchmark exchange rate in 2000/2001. The Korean won and the Thai baht as well as
the Japanese yen were fluctuating before and after the global financial crisis. The
Korean won was overvalued by more than 20% compared with the benchmark level
before the global financial crisis. Also the Thai baht made abrupt appreciation before
the global financial crisis. After the global financial crisis, the Korean won and the Thai
baht abruptly depreciated. In contrast, the Japanese yen was undervalued by 10%
compared with the benchmark level before the global financial crisis. The Japanese yen
appreciated in contrast with the Korean won and the Thai baht during the global
financial crisis. In total, East Asian currencies have a tendency to widen deviation
3 An AMU is an abbreviation for Asian Monetary Unit. It is a unit of common currency
basket which is calculated based on exchange rates of ASEAN+3 currencies. The AMU
is expressed in a weighted average of the US dollar (65%) and the euro (35%) because
the United States and the euro zone are major trade partners for East Asia countries.
The weights 65%:35% on the US dollar and the euro are based on shares of East Asia’s
trade with the United States and the euro zone. On one hand, an AMU Deviation
Indicator is a measurement which shows how much each of East Asian currencies is
deviated from its benchmark in terms of the AMU. A nominal AMU Deviation Indicator
is calculated based on nominal exchange rates while a real AMU Deviation Indicator is
calculated by taking into account inflation differentials. Their data are available from a
website
of
Research
Institute
of
Economy,
Trade
and
Industry
(http://www.rieti.go.jp/users/amu/index.html). See the website for details of AMU and
AMU Deviation Indicators.
6
indicators among them. The largest deviation indicator differential was larger than 60%
point between the most overvalued currency (the Japanese yen) and the most
undervalued currency (the Vietnamese dong) in 2011.
On one hand, Figure 4(2) shows movements of real AMU Deviation Indicator for
each of East Asian currencies in terms of real exchange rates. Currencies with relatively
higher inflation rate have a tendency to appreciate while currencies with relatively
lower inflation rate have a tendency to depreciate. For example, the Indonesian rupiah,
the Vietnamese dong, and the Lao kip are appreciating in terms of real AMU Deviation
Indicators while they are depreciating in terms of nominal AMU Deviation Indicators.
In contrast, the Japanese yen has a tendency to depreciate in the real term after the
global financial crisis while it has a tendency to appreciate in the nominal term. The
reason is considered to be why the Japanese economy experienced deflation. The Korean
won reflected appreciation of the nominal exchange rate to be overvalued in terms of
real AMU Deviation Indicator after late 2004 to 2006. The Thai baht abruptly
appreciated in the real term from 2007. The real AMU Deviation Indicators of East
Asian currencies on the whole have a tendency to widen. Differential of real AMU
Deviation Indicators between the Indonesian rupiah (the most overvalued currency)
and the Japanese yen (the most undervalued currency) is shown to be larger than 120%
points.
Thus, East Asian currencies showed asymmetric responses against the global
financial crisis. One of major reasons is that carry trades brought about capital flows
between one East Asian country with relatively lower interest rate such as Japan and
others with relatively higher interest rates such as Korea and Thailand. The carry trade
driven capital flows within the region affected fluctuations of intra-regional exchange
rates among East Asian countries (Ogawa and Wang (2013)).
4. Effects of interest rates in the United States on interest rates, exchange rates, and
capital flows in East Asia
A number of recent studies have concentrated on the effects of the United States
unconventional monetary policy. For example, Eichengreen and Gupta (2014) analyze
the effects of “tapering talk” on macroeconomic variables of emerging markets. Bowman,
Londono and Sapriza (2014) explore how the U.S. unconventional monetary policy
affected emerging market economy’s asset price as well as capital flow. Lim, Mohapatra
and Stocker (2014) focus mostly on the effect of unconventional monetary policies of
high income economies on the financial inflows to developing economies, and simulate
the effect of monetary policy normalization. Aizenman, Binici and Hutchison (2014)
7
shed light over the effects of “tapering news,” which trigger a reduction of capital
inflows and a depreciation of exchange rates on emerging markets. Here, we focus on
the East Asian countries and consider how an exit strategy of quantitative easing
monetary policy by the FRB will affect capital flows in East Asian countries. For the
purpose, we empirically analyze how the interest rates in the United States as well as
the euro zone affect interest rates, exchange rates, capital flows in East Asian countries.
A Vector Autoregressive (VAR) Model is used to investigate causality relationships
among the economic variables 4. We use data which include interest rates in East Asian
countries, the United States, and the euro zone, exchange rates of East Asian currencies
in terms of the US dollar and the euro, exchange rates of AMU (CMI) in terms of the US
dollar and the euro 5, AMU Deviation Indicators of East Asian currencies, portfolio and
other investments of financial accounts in the balance of payments statistics.
(1) Objectives of analysis
East Asian currencies were indirectly affected by the global financial crisis as
explained above. After the global financial crisis, quantitative easing monetary policy of
the Bank of Japan, the FRB, and the ECB have supplied plentiful of money into
financial markets. The money flowed into emerging market countries to boost the
domestic economies 6. However, it is expected that the quantitative easing monetary
policy is changing into an exit strategy in the United States as economic recovery takes
hold. It is expected that the change of monetary policy into an exit strategy increase
interest rates in the United States while its resulting appreciation of their home
currencies tended to contract exports from the countries. Exporting firms complained
about the appreciation that was caused by surges in capital inflow. The money that
flowed into emerging market countries might flow backward by the change of monetary
policy in the United States. It might have adverse effects on the emerging market
countries.
We investigate effects of the change in monetary policy in the United States on East
Asian countries. Specifically, we analyze how change in interest rates in the United
States will affect interest rates, exchange rates, and capital flows in East Asian
4 In a strict sense, VAR model cannot identify the causal relationship without any
theoretical evidence; a correlation does not mean causality.
5 An AMU (CMI) is an Asian Monetary Unit with weights based on contribution share
which each of East Asian countries is decided under Chiang Mai Initiative
Multilateralization (CMIM).
6 These countries also complain about the appreciation of currencies is bad for their
exporting industries.
8
countries 7. Moreover, based on the estimation, we forecast effects of exit strategy of
quantitative easing monetary policy on East Asian countries. We focus on interest rate
as a policy instrument that is used to accomplish objectives of monetary policy.
At first, we analyze how changes in interest rates in the United States affect
interest rates in East Asian countries. It is expected that changes in interest rates in
the United States have a same direction of effect on interest rates in East Asian
countries with neither capital controls nor foreign exchange control.
Next, we analyze how interest differentials between the United States and East
Asian countries affect exchange rates of the relevant home currencies in terms of the US
dollar. It is expected that the relevant currency depreciate against the US dollar as
interest differentials (US dollar denominated interest rate minus the relevant home
currency denominated interest rate) is increasing.
Moreover, we analyze how interest differentials between a weighted average of
interest rates in the United States and the euro zone and East Asian countries affect
exchange rate of the AMU in terms of a currency basket of the US dollar and the euro 8.
It is expected that the AMU depreciate against a currency basket of the US dollar and
the euro as interest differentials (US dollar & euro interest rate minus the relevant
home currency interest rate) is increasing.
We make the following supplementary analysis. The FRB’s exit strategy of
quantitative easing monetary policy would increase interest differential between the
United States and Japan, given that the Bank of Japan keeps the quantitative easing
monetary policy for the time being. We analyze how the interest differential between
the United States and Japan affects East Asian currencies except for the Japanese yen.
Lastly, we analyze how interest differentials or expected return differentials by
taking into account expected rate of change in exchange rate between the United States
and the relevant East Asian countries affects capital flows or financial accounts of East
Asian countries. It is expected that East Asian countries face capital out flows or minus
financial account as interest differentials or expected return differentials (interest rate
or expected return in the United States minus that in East Asian countries) increase.
(2) Data and analytical periods
To clarify the influence channel and spreading effect of quantitative easy monetary
policy, it is important to focus on the impact of interest rate on macroeconomic variables
other than that we have mentioned.
8 Weights on the US dollar interest rate and the euro interest rate are set to be 65% and
35%, respectively. Weights on interest rates of East Asian countries are based on basket
shares of AMU (CMI).
7
9
We suppose that the United States and the euro zone might affect capital flows of
East Asian countries. We target ten countries and region which include Japan, China,
Korea, Hong Kong, Thailand, Singapore, Indonesia, Malaysia, the Philippines, and
Vietnam. We treat a weighted average of ten countries and region as a whole of East
Asia in order to investigate effects on East Asia as a whole.
We use the following data in conducting the empirical analysis. Daily data on
inter-bank interest rate (3 months) are used as interest rates in East Asian countries,
the United States, and the euro zone. Due to data constraints, data on uncollateralized
overnight call rates are used as interest rates in Korea and China. Data on interest rate
of Treasury Bills (364 days) are used as interest rates in the Philippines. Daily data on
exchange rates of East Asian currencies in terms of the US dollar and the euro as well
as the above-mentioned interest rates are obtained from Datastream. Data on exchange
rates of both AMU (CMI) and AMU (CMI) Deviation Indicators of East Asian currencies
are downloaded from a website of Research Institute of Economy, Trade and Industry
(RIETI). Data on portfolio and other investments in financial account are obtained from
IMF, Balance of Payments Statistics. Data on financial account of Japan and Korea are
used from the Bank of Japan and the Bank of Korea, respectively.
Analytical periods are selected in order to cover all data on the East Asian countries.
Analytical periods are from January 1, 2000 to December 31, 2013 for analyses that
daily data on interest rates and exchange rates. On one hand, analytical periods are the
1st quarter of 2000 to the 2nd quarter of 2013 for Hong Kong, Singapore, Thailand, and
the Philippines in using quarterly data on financial account. Due to data constraints,
analytical periods are the 1st quarter of 2000 to the 4th quarter of 2012 for Indonesia,
and the 1st quarter of 2000 to the 3rd quarter of 2012 for Malaysia and Vietnam.
Analytical periods are January 2000 to the December 2013 for Japan and Korea. We
cannot conduct any analysis of financial accounts in China because data on Chinese
financial account is available only for a period from the 1st quarter of 2010 to the 4th
quarter period of 2012.
Strictly, we should take into account three stages of monetary policy in the United
States. It includes (1) first stage: Pre-Lehman shock, (2) second stage: Zero Interest
Rate Policy and Quantitative Easing and (3) third stage: end of Quantitative Easing
and raising the interest rate. For the purpose, we also analyzed how changes in interest
rates in the United States affect interest rates in East Asian countries before the FRB
decided to pull its FF rate down to 0% - 0.25%. Analytical periods are selected just
before announcement made by FRB about the constraints of zero lower bound interest
10
rate on 16 December, 2008 9. Daily data are from January 1, 2000 to December 15, 2008,
quarterly data from the 1st quarter of 2000 to the 4th quarter of 2008, and monthly
data from January 2000 to the December 2008.
We take a first logarithm difference for exchange rates, rate of changes in financial
accounts and first difference of interest rates and AMU (CMI) Deviation Indicators to
make empirical analysis. It is true that the interest rate and the exchange rate in the
East Asian emerging countries depend on not only the interest rates in the United
States, the Euro zone, and Japan but also macroeconomic conditions of the respective
countries which include the inflation rate and GDP growth rate. However, we have to
ignore the macroeconomic variables in order that we should use daily data of interest
rate and exchange rate to analyze effects of changes in interest rates in the United
States.
(3) Results of empirical analysis
Table 1 shows empirical results regarding relationships of interest rates among the
United States, the euro zone, and East Asian countries. Economic variables in the first
column in Table 1 shows economic variable to be used for each of analysis. The next
column shows causality relationships among the economic variables that are in theory
expected to have. The analytical results are shown in each column of countries and
region. The analytical results are summarized as follows.
We found many expected causality relationship from changes in interest rates in
the United States and the euro zone to many East Asian countries except for Indonesia,
Malaysia and China. Especially for Japan, Korea, and Singapore which have no capital
control and foreign exchange control, we found that the interest rates have positive
correlation with those in the United States and the euro zone. When the interest rates
in the United States or the euro zone decrease (increase), the interest rates in many of
the East Asia countries also decrease (increase). Moreover, we found that positive
correlation between a weighted average of interest rates in the United States and the
euro zone and a weighted average of interest rates in East Asian countries. When the a
weighted average of interest rates in the United States and the euro zone decrease
(increase), a weighted average of interest rates in the East Asia countries also decrease
(increase). With respect to the results of subsample periods summarized in Table 2, no
capital control and foreign exchange control countries have a significant result.
Only focusing on the periods of pre-Lehman’s crisis cannot get the whole picture of
interest rate impact before and after the constraints of zero lower bound interest rate. It
is also important to take into account the periods of zero interest rate policy, pre- and
post-quantitative easy monetary policy, as well the periods of increasing interest rate.
9
11
Tables 3 and 4 give empirical results regarding relationship between interest
differentials of the United States and /or the euro zone minus East Asian countries and
the relevant exchange rates of East Asian currencies in both full and subsample periods,
while relevant interest differentials are shown in Figures 5 and 6. The interest
differentials have a positive correlation with exchange rate of currencies of East Asian
countries except for Indonesia, Vietnam and the Philippines. The exchange rates of East
Asian currencies depreciate against the US dollar as the interest rates in East Asian
countries decrease relatively compared with the United States. Differentials between a
weighted average of interest rates in the United States and the euro zone and a
weighted average of interest rates in East Asian countries has a negative relationship
with an exchange rate of the AMU, that is a weighted average of East Asian currencies,
in terms of a weighted average of the US dollar and the euro. When a weighted average
of interest rates in the United States and the euro zone decreases relatively compared
with a weighted average of interest rates in East Asian countries, it means that an
exchange rate of the AMU appreciates against a weighted average of the US dollar and
the euro. By focusing on the results of full sample periods as well as subsample periods,
we cannot find statistically significant results.
Tables 5 and 6 show empirical results regarding how interest differentials between
Japan and the United States, between Japan and the euro zone, and between the
United States and the euro zone affect exchange rates of East Asian currencies. We
found that interest differentials between Japan and the United States have the
expected correlation with exchange rates of the relevant currency against the AMU and
the nominal AMU Deviation Indicators for some of the East Asian currencies over both
the full and subsample periods. We found that the interest differentials between the
United States and the euro zone have the expected correlation with exchange rates of
the relevant currency against the AMU and the nominal AMU Deviation Indicators for
Japan and Korea only.
Tables 7 and 8 summarize empirical results regarding how capital flows in East
Asian countries are caused by interest differentials or expected return differentials
between the United States and East Asian countries over the full sample periods as well
subsample periods. Interest differential is calculated as the US dollar denominated
interest rate minus home currency denominated interest rate. Expected return
differential is calculated in order to take into account expected rate of change in
exchange rate. It is calculated as the US dollar denominated interest rate minus home
currency denominated interest rate plus expected rate of change in exchange rate of the
US dollar in terms of home currency. Regarding the expected rate of change in exchange
12
rate, we assume a perfect forecast that market participants can perfectly expect an
actual future exchange rate. Its empirical results show that we have expected
relationship between interest differentials and financial accounts for several countries
and region. We found also expected relationship between expected return differentials
and financial accounts. However, these expected relationships are not statistically
significant 10.
Also, Tables 1 to 8 show accumulated impulse response of each economic variable to
one standard deviation of shock of interest rates or interest differential for ten days or
two years after the shock 11. We found that response of interest rates in East Asian
countries are statistically significant ten days later when interest rates in the United
States or the euro zone exogenously happen. On the other hand, responses of exchange
rates and AMU Deviation Indicators of East Asian currencies are smaller compare with
the interest rates or statistically insignificant when interest rates in the United States
or the euro zone exogenously happen.
Moreover, we found that accumulated responses of financial accounts to the
interest differentials and the expected return differentials are positive but statistically
insignificant for some of the East Asian countries 12.
(4) Implication of the empirical results: effects of the exit strategy
The above empirical results have the following implication. It is expected that
interest rates in the East Asian countries increase to follow increase in the interest
rates in the United States if the FRB adopts an exit strategy of the quantitative easing
monetary policy to raise the FF rate. For example, according to the estimated value of
one standard deviation summarized in Tables 9 and 10, interest rate in Korea will
increase by 0.741%points over the full sample periods and by 0.606%points over the
subsample period after the FRB raises the FF rate by 2%points for ten days 13. It is
Since we ignored some other important macroeconomic variables and formulated
only two variables in empirical analysis for simplicity, it might be the reason why the
results are statistically insignificant.
11 Accumulated impulse response graphs are reported in Appendix.
12 To improve empirical analysis results, it needs to increase the sample size and
reclassify category of financial account.
13 Under the circumstances that the FRB would have carried out its exit strategy and
raised the FF rate to 2%points, we can evaluate how the magnitude scale it would be
with one standard deviation of the US interest rate. That is, 2%points divided by
0.027%points is approximately equal to 74.074. With the magnitude value (74.074), we
can calculate how many percent point the interest rate in East Asian countries would
change. Interest rate in Korea, for instance, would go up 0.741%points with its
accumulated impulse response (0.010%points). That is, 0.010%points multiplied by
74.074 is approximately equal to 0.741%points.
10
13
expected that interest rate in Hong Kong, Singapore, and Thailand will increase by
4.074%points, 1.111%points, and 0.593%points over the full sample periods after the
FRB raises its FF rate for ten days. With respect to subsample periods, interest rate in
Hong Kong, Singapore, and Thailand will increase 4.061%points, 1.152%points, and
0.485%points, respectively.
On one hand, the Bank of Japan seems to keep its quantitative and qualitative
easing monetary policy for the time being in order to accomplish 2% of inflation target,
while at the same time central banks of East Asian countries except for Japan would
follow the increase in interest rates in the United States. Given the different timing of
exit strategy of quantitative easing monetary policy between the FRB and the Bank of
Japan, the interest differential will widen. It would stimulate carry trades which
borrow the Japanese yen fund with lower interest rate to invest in other East Asian
countries with higher interest rates. As a result, the other East Asian currencies would
be affected by the fund transfer. For example, according the estimation results in Tables
5 and 6, the Korean won would appreciate by 3.925%points, the Hong Kong dollar
appreciate by1.185%points, the Singapore dollar appreciate by 0.889%points, the Thai
baht appreciate by 2.444%points, the Indonesian rupiah appreciate by 4.815%pionts,
and the Vietnamese dong appreciate by 1.407%points over the full sample periods after
the FRB would increase its FF rate to 2%. By focusing on the subsample periods, the
Korean won, the Hong Kong dollar, the Singapore dollar, the Thai baht, the Indonesian
rupiah, and the Vietnamese dong would appreciate by 4.182%points, 0.788%points,
0.970%points, 2.788%points, 4.970%pionts, and 1.212%points in terms of the AMU
Deviation Indicator within ten days, respectively.
Lastly, it is expected that the exit policy of the quantitative easing monetary policy
by the FRB would increase interest rates in the United States relative to interest rates
in East Asian countries. For the reasons, most of East Asian countries would face
sudden stop of capital inflows and/or reversal of capital flows and moreover capital
outflows. For example, it is expected that the change in interest differentials would
make the Korean economy face capital outflows in portfolio and other investments by
58.023% and 15.658% after eight quarters 14 . Or it is expected that the change in
expected return differentials would make the Korean economy face capital outflows in
portfolio and other investments by 54.090% and 14.358%, respectively.
Thus, it is expected that the East Asian countries would be given an upward
If the FRB increases the FF rate from 0% to 2%, Korea would experience an
enormous capital outflows of which are accumulated over eight quarters. That is, the
amount of capital outflows would be 58.023% and 15.658% in portfolio and other
investments after increasing the FF rate for two years.
14
14
pressure on interest rates and, at the same time, capital outflow and depreciation of
their home currencies when the FRB adopted the exit strategy of quantitative easing
monetary policy to raise interest rates in the United States. These findings are
consistent with the common saying that “when the United States sneezes, emerging
countries catch a cold.”
5. Conclusion
The global financial crisis caused severe damages to not only the US economy but
also the European economy. The resulting worldwide recession had adverse effects on
East Asian economy by reducing its export to the United States and Europe. At the
same time, the global financial crisis made a large change in capital flows around the
world to have indirect effects on fluctuations of East Asian currencies. The effect
appeared to be increasing volatility of exchange rates of East Asian currencies and
widening misalignments of intra-regional exchange rates among them.
This paper empirically analyzed the phenomenon in the past to investigate how the
exit strategy of quantitative easing monetary policy by the FRB or FRB’s raising
interest rates affects interest rates, exchange rates, and capital flows of East Asian
countries. The empirical results suggest that if the FRB adopts the exit strategy to raise
interest rates, it would give an upward pressure to interest rates in East Asia. Moreover,
East Asian countries would face sudden stop of capital inflows and capital outflows to
depreciate East Asian currencies.
Given that the FRB’s raising interest rates will give any turbulence to East Asian
currencies, the monetary authorities of East Asian countries should prepare for it by
making surveillance over movements in interest rates and exchange rates as well as
sudden changes in capital flows. For the purpose, the monetary authorities of East
Asian countries should strengthen regional financial and monetary cooperation in
terms of the surveillance for crisis prevention rather than crisis management under the
Chiang Mai Initiative.
15
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Quantitative Easing on financial flows to developing countries,” Policy Research
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fluctuations in emerging markets,” Journal of Monetary Economics, 54, 2512–2520.
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Asian Currencies?” RIETI Discussion Paper Series, 13-E-096.
16
1200000
0
2008/01/…
2008/03/…
2008/05/…
2008/07/…
2008/09/…
2008/11/…
2009/01/…
2009/03/…
2009/05/…
2009/07/…
2009/09/…
2009/11/…
2010/01/…
2010/03/…
2010/05/…
2010/07/…
2010/09/…
2010/11/…
2011/01/…
2011/03/…
2011/05/…
2011/07/…
2011/09/…
2011/11/…
2012/01/…
2012/03/…
2012/05/…
2012/07/…
2012/09/…
2012/11/…
2013/01/…
2013/03/…
2013/05/…
2013/07/…
2013/09/…
2013/11/…
2014/01/…
2014/03/…
Figure 1: Accumulation of MBS and Long-term Treasury Securities Purchased by the
FRB
Millions of USD
mortgage-backed securities
long-term Treasury securities
1000000
800000
600000
400000
200000
Data: FRB
17
0
Data: Datastream
18
2013/12/31
2013/06/30
2012/12/31
2012/06/30
2011/12/31
2011/06/30
2010/12/31
euro interest rate
2010/06/30
2009/12/31
2009/06/30
2008/12/31
2008/06/30
2007/12/31
2007/06/30
2006/12/31
USdollar interest rate
2006/06/30
2005/12/31
2005/06/30
2004/12/31
2004/06/30
2003/12/31
2003/06/30
2002/12/31
2002/06/30
2001/12/31
2001/06/30
2000/12/31
2000/06/30
8
1999/12/31
Figure 2: Japanese Yen, US Dollar, and Euro Interest Rates
%
yen interest rate
7
6
5
4
3
2
1
Figure 3(1): Asset and Liability Balance of Japan
Data: BIS
Figure 3(2): Asset and Liability Balance of Korea
Data: BIS
19
Figure 4(1): Nominal AMU Deviation Indicators
Data: RIETI (http://www.rieti.go.jp/users/amu/index.html)
Figure 4(2): Real AMU Deviation Indicators
Data: RIETI (http://www.rieti.go.jp/users/amu/index.html)
20
Figure 5: Interest Rate Differential between US and East Asian Country
21
Note:
Inter-bank interest rate (3 months): Japan, Hong Kong, Singapore, Thailand, Indonesia,
Malaysia, Vietnam, the United States, and the euro zone, uncollateralized overnight
call rate: Korea and China, interest rate of Treasury Bills (364 days): the Philippines.
Data: Datastream
22
Figure 6: Interest Rate Differential between Euro Zone and East Asian Country
23
Note:
Inter-bank interest rate (3 months): Japan, Hong Kong, Singapore, Thailand, Indonesia,
Malaysia, Vietnam, the United States, and the euro zone, uncollateralized overnight
call rate: Korea and China, interest rate of Treasury Bills (364 days): the Philippines.
Data: Datastream
24
Table 1: Relationship between Interest Rates in the United States, the Euro Zone and East Asian Countries (full sample period)
expected
relation
A: interest rate in US
B: interest rate in euro
1
A→C(+)
accumulated
zone
response
C: interest rate in East
B→C(+)
Asian country
accumulated
response
Hong
Singap
Thailan
Indones
Malaysi
Kong
ore
d
ia
a
○
○
○
○
x
x
○
0.010***
0.055***
0.015***
0.008***
–
–
0.028***
Japan
Korea
○
0.002***
○
○
○
○
○
0.002***
0.014***
0.032***
0.010***
0.011***
△
0.004
Vietna
m
Philippi
nes
China
Asia
x
△
–
0.008
East
N/A
○
○
○
○
0.006***
0.039***
0.017***
0.001***
A: a weighted average of
interest rate in US and
2
euro zone
B: a weighted average of
interest rate of East
A→B(+)
accumulated
○
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
○
○
○
○
○
x
○
○
x
0.002***
0.013***
0.056***
0.016***
0.009***
–
0.002*
0.034***
△
0.006***
response
Asian countries
A: a weighted average of
interest rates in US and
3
euro zone
B：interest rate in East
A→B(+)
accumulated
response
0.011
–
N/A
Asian country
analytical period: January 1, 2000 to December 31, 2013, data: Datastream
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
25
Table 2: Relationship between Interest Rates in the United States, the Euro Zone and East Asian Countries (subsample period)
expected
relation
A: interest rate in US
B: interest rate in euro
1
A→C(+)
accumulated
zone
response
C: interest rate in East
B→C(+)
Asian country
accumulated
response
Hong
Singap
Thailan
Indones
Malaysi
Kong
ore
d
ia
a
○
○
○
○
x
0.010***
0.067***
0.019***
0.008**
–
△
Japan
Korea
○
0.002***
0.001
Vietna
m
Philippi
nes
○
0.029***
China
Asia
x
△
–
0.008
East
N/A
○
○
○
○
○
x
○
○
○
○
0.001**
0.015***
0.041***
0.013***
0.010***
–
0.003***
0.041***
0.019*
0.001**
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
○
○
○
○
○
x
○
○
x
0.002***
0.013***
0.069***
0.019***
0.010**
–
0.001*
0.036***
△
A: a weighted average of
interest rate in US and
2
euro zone
B: a weighted average of
interest rate of East
A→B(+)
accumulated
response
○
0.007***
Asian countries
A: a weighted average of
interest rates in US and
3
euro zone
B：interest rate in East
A→B(+)
accumulated
response
0.011
–
N/A
Asian country
analytical period: January 1, 2000 to December 15, 2008, data: Datastream
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
26
Table 3: Relationship between Interest Differentials between the United States/the Euro Zone and East Asian Countries and Exchange
Rates of East Asian Countries (full sample period)
expected
relation
A: interest differential
1
between US and East
Asian country
accumulated
response
B: N.C./US$
A: interest differential
2
A→B(+)
between euro zone and
East Asian country
A→B(+)
accumulated
response
B: N.C./euro
Hong
Singa
Thaila
Indonesi
Malays
Kong
pore
nd
a
ia
○
○
○
○
x
x
x
○
0.001***
-0.001**
0.000
0.000
0.000
–
△
0.000
–
–
0.000
x
○
x
x
x
0.000
0.000
△
x
0.000
△
x
–
△
0.000
–
–
–
–
–
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Japan
Korea
○
Vietna
m
Philipp
ines
China
East
Asia
N/A
N/A
A: differential between a
weighted
average
of
interest rates of US and
3
euro
zone
weighted
and
a
average
of
interest rates in East
A→B(-)
accumulated
response
Asian countries
B: US$+euro/AMU
27
△
0.000
A: differential between a
weighted
average
of
interest rates of US and
4
euro
zone
weighted
and
a
average
of
interest rates in East
A→B(-)
accumulated
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
○
○
○
x
x
x
x
-0.001***
0.000
–
0.000
–
–
△
x
0.001***
△
0.000
–
–
○
○
○
x
x
x
x
x
x
-0.056***
0.063***
-0.030***
–
△
–
–
–
–
–
response
△
0.000
Asian countries
B: AMU DI
A: differential between a
weighted
5
average
of
interest rates of US and
A→B(+)
euro zone and interest
accumulated
rates
in
East
Asian
response
countries
B: N.C./AMU
A: differential between a
weighted
6
average
of
interest rates of US and
A→B(-)
euro zone and interest
accumulated
rates
in
East
Asian
response
countries
B: AMU DI
analytical period: January 1, 2000 to December 31, 2013, data: Datastream and RIETI
28
-0.008
N/A
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
29
Table 4: Relationship between Interest Differentials between the United States/the Euro Zone and East Asian Countries and Exchange
Rates of East Asian Countries (subsample period)
expected
relation
A: interest differential
1
between US and East
Asian country
accumulated
response
B: N.C./US$
A: interest differential
2
A→B(+)
between euro zone and
East Asian country
A→B(+)
accumulated
response
B: N.C./euro
Hong
Singa
Thaila
Indonesi
Malays
Kong
pore
nd
a
ia
○
○
○
○
x
○
x
x
○
0.001***
-0.001***
0.000
0.000
0.000
–
0.000
–
–
0.000
x
x
x
x
x
0.000
0.000
△
x
–
△
x
–
△
0.000
–
–
–
–
–
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Japan
Korea
○
Vietna
m
Philipp
ines
China
East
Asia
N/A
N/A
A: differential between a
weighted
average
of
interest rates of US and
3
euro
zone
weighted
and
a
average
of
interest rates in East
A→B(-)
accumulated
response
Asian countries
B: US$+euro/AMU
30
x
–
A: differential between a
weighted
average
of
interest rates of US and
4
euro
zone
weighted
and
a
average
of
interest rates in East
A→B(-)
accumulated
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
○
x
○
x
x
x
x
x
x
0.001***
–
0.000
–
△
0.000
–
–
–
–
–
○
x
○
x
x
x
x
x
x
-0.065***
–
-0.039***
–
△
–
–
–
–
–
response
○
0.000
Asian countries
B: AMU DI
A: differential between a
weighted
5
average
of
interest rates of US and
A→B(+)
euro zone and interest
accumulated
rates
in
East
Asian
response
N/A
countries
B: N.C./AMU
A: differential between a
weighted
6
average
of
interest rates of US and
A→B(-)
euro zone and interest
accumulated
rates
in
East
Asian
response
countries
B: AMU DI
analytical period: January 1, 2000 to December 15, 2008, data: Datastream and RIETI
31
-0.009
N/A
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
32
Table 5: Relationship between Interest Differentials and Exchange Rates (full sample period)
expected
relation
A: interest
1
differential between
US and Japan
B：N.C./AMU
A: interest
2
differential between
US and Japan
B: AMU DI
A: interest
3
differential between
euro zone and Japan
B：N.C./AMU
A: interest
4
differential between
euro zone and Japan
B: AMU DI
A: interest
5
differential between
US and euro zone
B：N.C./AMU
Japan
A→B(-)
accumulated
N/A
response
A→B(+)
accumulated
N/A
response
A→B(-)
accumulated
N/A
response
A→B(+)
accumulated
N/A
response
A→B(+)
accumulated
response
△
0.000
Hong
Singap
Thailan
Indones
Malays
Kong
ore
d
ia
ia
○
○
-0.001**
0.000
△
0.000
△
0.000
○
○
0.053**
0.016
△
0.012
△
0.033*
0.065**
0.001
0.019*
0.014
0.014
x
△
△
x
○
△
△
△
△
Korea
○
-0.001**
*
○
△
Vietna
m
Philipp
ines
○
△
China
○
0.000
0.000
0.000
0.000
△
○
△
○
–
0.000
0.000
–
-0.001*
0.000
0.000
0.000
0.000
x
△
x
○
0.014
–
0.046*
△
0.016
△
0.014
△
○
0.013
△
-0.009
0.021*
x
x
x
x
x
x
x
–
–
–
–
△
–
–
–
–
○
-0.001**
*
33
0.000
East
Asia
N/A
N/A
N/A
N/A
N/A
A: interest
6
differential between
US and euro zone
B: AMU DI
A→B(-)
accumulated
response
○
○
x
x
x
x
-0.044**
0.058**
–
–
–
–
△
-0.008
x
x
x
–
–
–
N/A
analytical period: January 1, 2000 to December 31, 2013, data: Datastream and RIETI
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data
***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
34
Table 6: Relationship between Interest Differentials and Exchange Rates (subsample period)
expected
relation
A: interest
1
differential between
US and Japan
B：N.C./AMU
A: interest
2
differential between
US and Japan
B: AMU DI
A: interest
3
differential between
euro zone and Japan
B：N.C./AMU
A: interest
4
differential between
euro zone and Japan
B: AMU DI
A: interest
5
differential between
US and euro zone
B：N.C./AMU
Japan
A→B(-)
accumulated
N/A
response
A→B(+)
accumulated
N/A
response
A→B(-)
accumulated
N/A
response
A→B(+)
accumulated
N/A
response
A→B(+)
accumulated
response
○
0.001**
Hong
Singap
Thailan
Indones
Malays
Kong
ore
d
ia
ia
○
○
○
○
-0.001**
0.000
0.000
△
0.000
-0.001**
△
0.000
0.000
0.000
0.000
○
○
○
○
○
○
0.013
0.016
0.046*
0.082**
0.007
0.020
△
○
0.069**
△
0.017
0.008
x
△
x
x
△
△
△
x
△
N/A
N/A
Korea
Vietna
m
Philipp
ines
○
△
China
○
–
0.000
–
–
-0.001
0.000
0.000
–
0.000
x
△
x
x
–
–
0.055
△
0.019
△
x
0.016
△
0.021
–
△
0.023
x
x
x
x
x
x
x
x
–
–
–
–
–
–
–
–
–
○
-0.001**
*
35
East
Asia
N/A
N/A
N/A
A: interest
6
differential between
US and euro zone
B: AMU DI
A→B(-)
accumulated
response
○
○
x
x
x
x
x
x
x
x
-0.052**
0.075***
–
–
–
–
–
–
–
–
N/A
analytical period: January 1, 2000 to December 15, 2008, data: Datastream and RIETI
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
36
Table 7: Relationship between Interest Differentials/Expected Return Differentials and Capital Flows (full sample period)
expected
relation
1
A: interest differential
A→B(+)
B: portfolio investment
accumulated
response
A: interest differential
2
B: other investment
A→B(+)
accumulated
response
A:
3
4
expected
return
differential
A→B(+)
accumulated
B: portfolio investment
response
A:
A→B(+)
expected
return
differential
B: other investment
accumulated
response
Japan
Korea
x
△
Hong
Singap
Thaila
Indone
Malays
Kong
ore
nd
sia
ia
△
△
△
△
△
N/A
△
Vietnam
Philipp
ines
China
East
Asia
△
N/A
N/A
△
N/A
N/A
–
7.630
1.229
-3.197
0.529
1.564
4.153
x
△
△
△
x
–
△
-0.295
x
–
0.891
1.021
△
△
△
N/A
△
N/A
N/A
△
△
N/A
N/A
–
2.059
0.077
0.068
x
△
△
△
–
7.248
1.230
-3.179
0.516
1.411
4.121
x
△
△
△
x
△
x
–
1.924
0.076
-0.009
–
-0.331
–
0.899
-2.197
-2.244
1.035
analytical period: January 2000 to the December 2013 for Japan and Korea, Q1:2000 to Q2:2013 for Hong Kong, Singapore, Thailand, and the Philippines,
Q1:2000 to Q4: 2012 for Indonesia, Q1:2000 to Q3: 2012 for Malaysia and Vietnam, data: Datastream, Balance of Payments Statistics (IMF), Bank of Japan,
and Bank of Korea
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
37
Table 8: Relationship between Interest Differentials/Expected Return Differentials and Capital Flows (subsample period)
expected
relation
1
A: interest differential
A→B(+)
B: portfolio investment
accumulated
response
A: interest differential
2
B: other investment
A→B(+)
accumulated
response
A:
3
4
expected
return
differential
A→B(+)
accumulated
B: portfolio investment
response
A:
A→B(+)
expected
return
differential
B: other investment
accumulated
response
Japan
Korea
x
△
Hong
Singap
Thaila
Indone
Malays
Kong
ore
nd
sia
ia
△
x
△
△
△
–
6.554
2.752
–
0.825
5.243
1.459
x
△
△
△
△
△
x
Vietnam
N/A
△
Philipp
ines
China
East
Asia
△
N/A
N/A
△
N/A
N/A
-3.751
–
1.594
-2.337
-0.153
1.106
0.571
–
9.968
2.600
x
△
△
x
△
△
△
N/A
△
N/A
N/A
△
N/A
N/A
–
6.078
2.757
–
0.718
5.299
1.297
x
△
△
△
△
△
x
–
1.665
-2.332
-0.122
1.082
0.610
–
△
9.877
-3.805
2.634
analytical period: January 2000 to the December 2008 for Japan and Korea, Q1:2000 to Q4:2008 for Hong Kong, Singapore, Thailand, Indonesia, Malaysia,
Vietnam and the Philippines, data: Datastream, Balance of Payments Statistics (IMF), Bank of Japan, and Bank of Korea
○: statistically significant and expected sign (95% confidence interval; including time lag in response), △: statistically insignificant but expected sign (95%
confidence interval), x: not expected sign, –: accumulated impulse response is insignificant (95% confidence interval), N/A: no data or not analyzed due to a few
number of data, ***, **, and * represent a statistically at a significant level of 1%, 5%, and 10%, respectively.
38
Table 9: One Standard Deviation of Estimated Values (%point) (full sample period)
Interest
Interest
Interest
Interest
differential
differential
differential
between US
between US
between US
and Japan
and Korea
and Hong
(daily)
(daily)
Kong (daily)
0.027
0.027
0.059
0.054
0.041
Interest
Interest
Interest
Interest
Interest
differential
differential
differential
differential
differential
between US
between US
between US
between US
between US
and China
and Japan
and Korea
and Hong
and
(daily)
(monthly)
(monthly)
Kong
Singapore
(quarterly)
(quarterly)
0.029
0.261
0.263
0.430
0.450
Expected
Expected
Expected
Expected
return
return
return
return
differential
differential
differential
differential
between US
between US
between US
between US
and Japan
and Korea
and Hong
and
(monthly)
(monthly)
Kong
Singapore
(quarterly)
(quarterly)
0.257
0.268
0.431
0.442
US interest
rate (daily)
Interest
Interest
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(daily)
(daily)
0.095
0.035
Interest
Interest
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(quarterly)
(quarterly)
0.611
1.346
0.639
Expected
Expected
return
return
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(quarterly)
(quarterly)
1.359
0.626
Interest
differential
differential
between US
between US
and
and Thailand
Singapore
(daily)
(daily)
0.071
Interest
differential
between US
and Thailand
(quarterly)
Expected
return
differential
between US
and Thailand
(quarterly)
0.603
Data: Datastream, Bank of Japan, and Bank of Korea
39
Expected
return
differential
between US
and Vietnam
(quarterly)
1.862
Interest
differential
between US
and Vietnam
(daily)
0.111
Interest
differential
between US
and Vietnam
(quarterly)
1.860
Expected
return
differential
between US
and
Philippines
(quarterly)
1.425
Interest
differential
between US
and
Philippines
(daily)
0.150
Interest
differential
between US
and
Philippines
(quarterly)
1.417
Table 10: One Standard Deviation of Estimated Values (%point) (subsample period)
Interest
Interest
Interest
Interest
differential
differential
differential
between US
between US
between US
and Japan
and Korea
and Hong
(daily)
(daily)
Kong (daily)
0.033
0.033
0.066
0.067
0.051
Interest
Interest
Interest
Interest
Interest
differential
differential
differential
differential
differential
between US
between US
between US
between US
between US
and China
and Japan
and Korea
and Hong
and
(daily)
(monthly)
(monthly)
Kong
Singapore
(quarterly)
(quarterly)
0.035
0.316
0.303
0.530
0.453
Expected
Expected
Expected
Expected
return
return
return
return
differential
differential
differential
differential
between US
between US
between US
between US
and Japan
and Korea
and Hong
and
(monthly)
(monthly)
Kong
Singapore
(quarterly)
(quarterly)
0.311
0.310
0.531
0.450
US interest
rate (daily)
Interest
Interest
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(daily)
(daily)
0.113
0.037
Interest
Interest
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(quarterly)
(quarterly)
0.652
1.386
0.613
Expected
Expected
return
return
differential
differential
between US
between US
and
and
Indonesia
Malaysia
(quarterly)
(quarterly)
1.407
0.606
Interest
differential
differential
between US
between US
and
and Thailand
Singapore
(daily)
(daily)
0.085
Interest
differential
between US
and Thailand
(quarterly)
Expected
return
differential
between US
and Thailand
(quarterly)
0.645
Data: Datastream, Bank of Japan, and Bank of Korea
40
Expected
return
differential
between US
and Vietnam
(quarterly)
1.789
Interest
differential
between US
and Vietnam
(daily)
0.103
Interest
differential
between US
and Vietnam
(quarterly)
1.778
Expected
return
differential
between US
and
Philippines
(quarterly)
1.565
Interest
differential
between US
and
Philippines
(daily)
0.171
Interest
differential
between US
and
Philippines
(quarterly)
1.553
Appendix:
1.
Full sample period (2000~2013)
In order to analyze the effects of change in interest rates in the United States on
variables in East Asian countries, we used a VAR model expressed by the following
equation.
∆Yt = µ + A(L )∆Yt −1 + ε t
where µ denotes a constant term, A(L ) denotes a lag coefficient, and
standard error. ∆ denotes differences of the first order, Y is a
ε
denotes a
n × 1 vector, and
′
Y = (Y1 , Y2 ,  , Yn ) .
(1). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest rate in US to interest rate in US; response of
interest rate in US to interest rate in East Asian country; response of interest rate
in East Asian country to interest rate in US; response of interest rate in East Asian
country to interest rate in East Asian country. Analytical period: January 1, 2000 to
December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest rate in US (IUSD) and interest rate in Japan (IJPY)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IJPY
.08
.08
.04
.04
.00
.00
Resp. of IJPY to
IUSD
Resp. of IJPY to
IJPY
.010
.010
.005
.005
.000
2
4
6
8
10
2
4
6
8
10
.000
2
41
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest rate in US (IUSD) and interest rate in Korea (IKRW)
Resp. of IUSD to
IKRW
Resp. of IUSD to
IUSD
.08
.08
.04
.04
.00
.00
Resp. of IKRW to
IUSD
Resp. of IKRW to
IKRW
.04
.04
.00
2
4
6
8
10
2
4
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest rate in US (IUSD) and interest rate in Hong Kong
(IHKD)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IHKD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
Resp. of IHKD to
IUSD
Resp. of IHKD to
IHKD
.04
2
4
6
8
10
.04
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest rate in US (IUSD) and interest rate in Singapore (ISGD)
Resp. of IUSD to
IUSD
Resp. of ISGD to
IUSD
Resp. of IUSD to
ISGD
.08
.08
.04
.04
.00
.00
Resp. of ISGD to
ISGD
.04
.04
.02
.02
.00
2
4
6
8
10
2
4
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest rate in US (IUSD) and interest rate in Thailand (ITHB)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IT HB
Resp. of IT HB to
IUSD
Resp. of IT HB to
IT HB
.08
.08
.08
.08
.04
.04
.04
.04
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
42
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest rate in US (IUSD) and interest rate in Indonesia (IIDR)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IIDR
.08
.08
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of IIDR to
IUSD
Resp. of IIDR to
IIDR
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest rate in US (IUSD) and interest rate in Malaysia (IMYR)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IMYR
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IMYR to
IMYR
Resp. of IMYR to
IUSD
.02
.02
.00
.00
10
2
4
6
8
2
10
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest rate in US (IUSD) and interest rate in Vietnam (IVND)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IVND
Resp. of IVND to
IVND
Resp. of IVND to
IUSD
.08
.08
.2
.2
.04
.04
.1
.1
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest rate in US (IUSD) and interest rate in the Philippines
(IPHP)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IPHP
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IPHP to
IUSD
10
.1
.1
.0
.0
2
43
Resp. of IPHP to
IPHP
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest rate in US (IUSD) and interest rate in China (ICNY)
Resp. of IUSD to
IUSD
Resp. of IUSD to
ICNY
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ICNY to
IUSD
10
.01
.01
.00
.00
2
44
Resp. of ICNY to
ICNY
4
6
8
10
2
4
6
8
10
(2). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest rate in euro zone to interest rate in euro zone;
response of interest rate in euro zone to interest rate in East Asian country;
response of interest rate in East Asian country to interest rate in euro zone;
response of interest rate in East Asian country to interest rate in East Asian
country. Analytical period: January 1, 2000 to December 31, 2013. Data:
Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest rate in euro zone (IEUR) and interest rate in Japan
(IJPY)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IJPY
.04
Resp. of IJPY to
IEUR
.04
.00
Resp. of IJPY to
IJPY
.010
.010
.005
.005
.00
.000
2
4
6
8
10
2
4
6
8
10
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest rate in euro zone (IEUR) and interest rate in Korea
(IKRW)
Resp. of IEUR to
IKRW
Resp. of IEUR to
IEUR
.04
.04
.02
.02
Resp. of IKRW to
IEUR
Resp. of IKRW to
IKRW
.04
.00
.00
2
4
6
8
.00
2
10
.04
4
6
8
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest rate in euro zone (IEUR) and interest rate in Hong Kong
(IHKD)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IHKD
.04
Resp. of IHKD to
IEUR
Resp. of IHKD to
IHKD
.04
.04
.00
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
.00
2
45
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest rate in euro zone (IEUR) and interest rate in Singapore
(ISGD)
Resp. of IEUR to
IEUR
Resp. of IEUR to
ISGD
Resp. of ISGD to
IEUR
Resp. of ISGD to
ISGD
.04
.04
.04
.04
.00
.00
.00
.00
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest rate in euro zone (IEUR) and interest rate in Thailand
(ITHB)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IT HB
.04
Resp. of IT HB to
IEUR
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IT HB to
IT HB
.08
.08
.04
.04
.00
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest rate in euro zone (IEUR) and interest rate in Indonesia
(IIDR)
Resp. of IEUR to
IIDR
Resp. of IEUR to
IEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IIDR to
IEUR
Resp. of IIDR to
IIDR
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest rate in euro zone (IEUR) and interest rate in Malaysia
(IMYR)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IMYR
.04
Resp. of IMYR to
IEUR
Resp. of IMYR to
IMYR
.04
.02
.00
.00
2
4
6
8
10
.02
.00
2
4
6
8
10
.00
2
46
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest rate in euro zone (IEUR) and interest rate in Vietnam
(IVND)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IVND
.04
Resp. of IVND to
IEUR
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of IVND to
IVND
.2
.2
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest rate in euro zone (IEUR) and interest rate in the
Philippines (IPHP)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IPHP
.04
Resp. of IPHP to
IEUR
Resp. of IPHP to
IPHP
.04
.00
.00
2
4
6
8
10
2
4
6
8
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest rate in euro zone (IEUR) and interest rate in China
(ICNY)
Resp. of IEUR to
IEUR
Resp. of ICNY to
IEUR
Resp. of IEUR to
ICNY
Resp. of ICNY to
ICNY
.04
.04
.01
.01
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
47
4
6
8
10
2
4
6
8
10
(3). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of weighted average of interest rate in US and euro zone to
weighted average of interest rate in US and euro zone; response of weighted
average of interest rate in US and euro zone to weighted average of interest rate of
East Asian countries; response of weighted average of interest rate of East Asian
countries to weighted average of interest rate in US and euro zone; response of
weighted average of interest rate of East Asian countries to weighted average of
interest rate of East Asian countries. Analytical period: January 1, 2000 to
December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and a weighted average of interest rate of East Asian countries (IASA)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IASIA
.04
.04
.00
.00
Resp. of IASIA to
IUSDEUR
Resp. of IASIA to
IASIA
.01
.01
.00
2
4
6
8
10
2
4
6
8
10
.00
2
48
4
6
8
10
2
4
6
8
10
(4). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of weighted average of interest rate in US and euro zone to
weighted average of interest rate in US and euro zone; response of weighted
average of interest rate in US and euro zone to interest rate in East Asian country;
response of interest rate in East Asian country to weighted average of interest rate
in US and euro zone; response of interest rate in East Asian country to interest rate
in East Asian country. Analytical period: January 1, 2000 to December 31, 2013.
Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Japan (IJPY)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IJPY
.04
.04
.00
.00
Resp. of IJPY to
IUSDEUR
Resp. of IJPY to
IJPY
.010
.010
.005
.005
.000
2
4
6
8
10
2
4
6
8
10
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Korea (IKRW)
Resp. of IUSDEUR to
IKRW
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IKRW to
IUSDEUR
Resp. of IKRW to
IKRW
.04
.04
.00
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Hong Kong (IHKD)
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IUSDEUR to
IHKD
Resp. of IHKD to
IUSDEUR
Resp. of IHKD to
IHKD
.04
.04
.00
.04
.00
2
4
6
8
10
2
4
6
8
10
2
49
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Singapore (ISGD)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
ISGD
.04
.04
.00
.00
Resp. of ISGD to
IUSDEUR
Resp. of ISGD to
ISGD
.04
.04
.02
.02
.00
2
4
6
8
10
2
4
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Thailand (ITHB)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IT HB
.04
Resp. of IT HB to
IUSDEUR
Resp. of IT HB to
IT HB
.08
.08
.04
.04
.00
.00
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
4
2
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Indonesia (IIDR)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IIDR to
IUSDEUR
Resp. of IUSDEUR to
IIDR
Resp. of IIDR to
IIDR
.04
.04
.1
.1
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Malaysia (IMYR)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IMYR
Resp. of IMYR to
IUSDEUR
Resp. of IMYR to
IMYR
.04
.04
.02
.02
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
50
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Vietnam (IVND)
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IUSDEUR to
IVND
Resp. of IVND to
IUSDEUR
Resp. of IVND to
IVND
.2
.2
.1
.1
.0
.0
.04
.00
.00
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in the Philippines (IPHP)
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IUSDEUR to
IPHP
Resp. of IPHP to
IUSDEUR
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IPHP to
IPHP
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in China (ICNY)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
ICNY
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ICNY to
IUSDEUR
10
.01
.01
.00
.00
2
51
Resp. of ICNY to
ICNY
4
6
8
10
2
4
6
8
10
(5). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest differential between US and East Asian country to
interest differential between US and East Asian country; response of interest
differential between US and East Asian country to exchange rate of East Asian
country in terms of US dollar; response of exchange rate of East Asian country in
terms of US dollar to interest differential between US and East Asian country;
response of exchange rate of East Asian country in terms of US dollar to exchange
rate of East Asian country in terms of US dollar. Analytical period: January 1, 2000
to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential between US and Japan (IUSDJPY) and
exchange rate of Japan (EJPYUSD)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
EJPYUSD
.05
Resp. of EJPYUSD to
IUSDJPY
Resp. of EJPYUSD to
EJPYUSD
.05
.004
.00
.00
2
4
6
8
10
.004
.000
2
4
6
8
10
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential between US and Korea (IUSDKRW) and
exchange rate of Korea (EKRWUSD)
Resp. of IUSDKRW to
IUSDKRW
Resp. of IUSDKRW to
EKRWUSD
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EKRWUSD to
IUSDKRW
Resp. of EKRWUSD to
EKRWUSD
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential between US and Hong Kong (IUSDHKD) and
exchange rate of Hong Kong (EHKDUSD)
Resp. of IUSDHKD to
IUSDHKD
Resp. of IUSDHKD to
EHKDUSD
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EHKDUSD to
IUSDHKD
Resp. of EHKDUSD to
EHKDUSD
.0004
.0004
.0000
.0000
10
2
52
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential between US and Singapore (IUSDSGD) and
exchange rate of Singapore (ESGDUSD)
Resp. of IUSDSGD to
ESGDUSD
Resp. of IUSDSGD to
IUSDSGD
.04
.04
.00
.00
2
4
6
10
8
2
4
6
Resp. of ESGDUSD to
IUSDSGD
.004
.004
.000
.000
10
8
Resp. of ESGDUSD to
ESGDUSD
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential between US and Thailand (IUSDTHB) and
exchange rate of Thailand (ETHBUSD)
Resp. of IUSDT HB to
IUSDT HB
Resp. of IUSDT HB to
ET HBUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
Resp. of ET HBUSD to
IUSDT HB
.004
.004
.000
.000
10
8
Resp. of ET HBUSD to
ET HBUSD
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential between US and Indonesia (IUSDIDR) and
exchange rate of Indonesia (EIDRUSD)
Resp. of IUSDIDR to
IUSDIDR
.1
.1
.0
.0
4
2
6
8
Resp. of EIDRUSD to
IUSDIDR
Resp. of IUSDIDR to
EIDRUSD
10
2
4
6
8
Resp. of EIDRUSD to
EIDRUSD
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential between US and Malaysia (IUSDMYR) and
exchange rate of Malaysia (EMYRUSD)
Resp. of IUSDMYR to
IUSDMYR
Resp. of IUSDMYR to
EMYRUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EMYRUSD to
IUSDMYR
Resp. of EMYRUSD to
EMYRUSD
.004
.004
.000
.000
10
2
53
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential between US and Vietnam (IUSDVND) and
exchange rate of Vietnam (EVNDUSD)
Resp. of IUSDVND to
IUSDVND
Resp. of IUSDVND to
EVNDUSD
Resp. of EVNDUSD to
IUSDVND
Resp. of EVNDUSD to
EVNDUSD
.2
.2
.002
.002
.1
.1
.001
.001
.0
.0
.000
.000
4
2
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential between US and the Philippines (IUSDPHP)
and exchange rate of the Philippines (EPHPUSD)
Resp. of IUSDPHP to
IUSDPHP
Resp. of IUSDPHP to
EPHPUSD
.2
.2
.1
.1
.0
.0
2
4
6
8
2
10
4
6
8
Resp.of EPHPUSD to
IUSDPHP
Resp. of EPHPUSD to
EPHPUSD
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential between US and China (IUSDCNY) and
exchange rate of China (ECNYUSD)
Resp. of IUSDCNY to
IUSDCNY
Resp. of IUSDCNY to
ECNYUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ECNYUSD to
IUSDCNY
Resp. of ECNYUSD to
ECNYUSD
.001
.001
.000
.000
2
10
54
4
6
8
10
2
4
6
8
10
(6). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest differential between euro zone and East Asian
country to interest differential between euro zone and East Asian country; response
of interest differential between euro zone and East Asian country to exchange rate
of East Asian country in terms of euro; response of exchange rate of East Asian
country in terms of euro to interest differential between euro zone and East Asian
country; response of exchange rate of East Asian country in terms of euro to
exchange rate of East Asian country in terms of euro. Analytical period: January 1,
2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential between euro zone and Japan (IEURJPY)
and exchange rate of Japan (EJPYEUR)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
EJPYEUR
Resp. of EJPYEUR to
IEURJPY
Resp. of EJPYEUR to
EJPYEUR
.04
.04
.01
.01
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential between euro zone and Korea (IEURKRW)
and exchange rate of Korea (EKRWEUR)
Resp. of IEURKRW to
IEURKRW
Resp. of IEURKRW to
EKRWEUR
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EKRWEUR to
IEURKRW
Resp. of EKRWEUR to
EKRWEUR
.01
.01
.00
.00
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential between euro zone and Hong Kong
(IEURHKD) and exchange rate of Hong Kong (EHKDEUR)
Resp. of IEURHKD to
IEURHKD
Resp. of IEURHKD to
EHKDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EHKDEUR to
IEURHKD
Resp. of EHKDEUR to
EHKDEUR
.008
.008
.004
.004
.000
.000
10
2
55
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential between euro zone and Singapore
(IEURSGD) and exchange rate of Singapore (ESGDEUR)
Resp. of IEURSGD to
IEURSGD
Resp. of IEURSGD to
ESGDEUR
Resp. of ESGDEUR to
IEURSGD
Resp. of ESGDEUR to
ESGDEUR
.04
.04
.005
.005
.00
.00
.000
.000
2
4
6
10
8
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential between euro zone and Thailand (IEURTHB)
and exchange rate of Thailand (ETHBEUR)
Resp. of IEURT HB to
IEURT HB
Resp. of IEURT HB to
ET HBEUR
Resp. of ET HBEUR to
IEURT HB
Resp. of ET HBEUR to
ET HBEUR
.08
.08
.008
.008
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential between euro zone and Indonesia (IEURIDR)
and exchange rate of Indonesia (EIDREUR)
Resp. of IEURIDR to
IEURIDR
Resp. of IEURIDR to
EIDREUR
.1
.1
.0
.0
6
4
2
8
10
2
4
6
8
Resp. of EIDREUR to
IEURIDR
Resp. of EIDREUR to
EIDREUR
.01
.01
.00
.00
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential between euro zone and Malaysia (IEURMYR)
and exchange rate of Malaysia (EMYREUR)
Resp. of IEURMYR to
IEURMYR
.04
Resp. of IEURMYR to
EMYREUR
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EMYREUR to
IEURMYR
Resp. of EMYREUR to
EMYREUR
.008
.008
.004
.004
.000
.000
10
2
56
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential between euro zone and Vietnam (IEURVND)
and exchange rate of Vietnam (EVNDEUR)
Resp. of IEURVND to
EVNDEUR
Resp. of IEURVND to
IEURVND
Resp. of EVNDEUR to
IEURVND
Resp. of EVNDEUR to
EVNDEUR
.2
.2
.008
.008
.1
.1
.004
.004
.0
.0
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential between euro zone and the Philippines
(IEURPHP) and exchange rate of the Philippines (EPHPEUR)
Resp. of IEURPHP to
IEURPHP
Resp. of IEURPHP to
EPHPEUR
.1
.1
.0
.0
2
4
6
8
2
10
4
6
8
Resp. of EPHPEUR to
IEURPHP
Resp. of EPHPEUR to
EPHPEUR
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential between euro zone and China (IEURCNY)
and exchange rate of China (ECNYEUR)
Resp. of IEURCNY to
IEURCNY
.04
Resp. of IEURCNY to
ECNYEUR
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ECNYEUR to
IEURCNY
Resp. of ECNYEUR to
ECNYEUR
.008
.008
.004
.004
.000
.000
2
10
57
4
6
8
10
2
4
6
8
10
(7). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
to differential between a weighted average of interest rates of US and euro zone
and a weighted average of interest rates in East Asian countries; response of
differential between a weighted average of interest rates of US and euro zone and a
weighted average of interest rates in East Asian countries to exchange rate of
AMU; response of exchange rate of AMU to differential between a weighted average
of interest rates of US and euro zone and a weighted average of interest rates in
East Asian countries; response of exchange rate of AMU to exchange rate of AMU.
Analytical period: January 1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
(IWUSDEURWASIA) and exchange rate of AMU (EUSDEURAMU)
Resp. of IWUSDEURWASIA to
IWUSDEURWASIA
Resp. of IWUSDEURWASIA to
EUSDEURAMU
Resp. of EUSDEURAMU to
EUSDEURAMU
Resp. of EUSDEURAMU to
IWUSDEURWASIA
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
58
4
6
8
10
2
4
6
8
10
(8). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
to differential between a weighted average of interest rates of US and euro zone
and a weighted average of interest rates in East Asian countries; response of
differential between a weighted average of interest rates of US and euro zone and a
weighted average of interest rates in East Asian countries to a weighted average of
AMU deviation indicator; response of a weighted average of AMU deviation
indicator to differential between a weighted average of interest rates of US and
euro zone and a weighted average of interest rates in East Asian countries;
response of a weighted average of AMU deviation indicator to a weighted average of
AMU deviation indicator. Analytical period: January 1, 2000 to December 31, 2013.
Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
(IWUSDEURWASIA) and a weighted average of AMU deviation indicator
(WAMUDI)
Resp. of IWUSDEURWASIA to
IWUSDEURWASIA
Resp. of IWUSDEURWASIA to
WAMUDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of WAMUDI to
IWUSDEURWASIA
Resp. of WAMUDI to
WAMUDI
.004
.004
.000
.000
10
2
59
4
6
8
10
2
4
6
8
10
(9). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and interest rates in East Asian countries to differential between
a weighted average of interest rates of US and euro zone and interest rates in East
Asian countries; response of differential between a weighted average of interest
rates of US and euro zone and interest rates in East Asian countries to exchange
rate of AMU in East Asian country; response of exchange rate of AMU in East
Asian country to differential between a weighted average of interest rates of US
and euro zone and interest rates in East Asian countries; response of exchange rate
of AMU in East Asian country to exchange rate of AMU in East Asian country.
Analytical period: January 1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between differential between a weighted average of interest rates of
US and euro zone and interest rates in Japan (IJPYWUSDEUR) and exchange rate
of AMU in Japan (JPYAMU)
Resp. of IJPYWUSDEUR to
IJPYWUSDEUR
Resp. of IJPYWUSDEUR to
JPYAMU
Resp. of JPYAMU to
IJPYWUSDEUR
Resp. of JPYAMU to
JPYAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Korea (IKRWWUSDEUR) and exchange rate of
AMU in Korea (KRWAMU)
Resp. of IKRWWUSDEUR to
IKRWWUSDEUR
Resp. of IKRWWUSDEUR to
KRWAM U
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of KRWAMU to
IKRWWUSDEUR
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
10
2
60
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Hong Kong (IHKDWUSDEUR) and exchange rate of
AMU in Hong Kong (HKDAMU)
Resp. of IHKDWUSDEUR to
IHKDWUSDEUR
.05
Resp. of IHKDWUSDEUR to
HKDAMU
.05
.002
.00
.00
2
4
6
8
10
Resp. of HKDAMU to
IHKDWUSDEUR
.002
.000
2
4
6
8
10
Resp. of HKDAMU to
HKDAMU
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Singapore (ISGDWUSDEUR) and exchange rate of
AMU in Singapore (SGDAMU)
.04
.04
.00
.00
2
4
6
8
Resp. of SGDAMU to
ISGDWUSDEUR
Resp. of ISGDWUSDEUR to
SGDAMU
Resp. of ISGDWUSDEUR to
ISGDWUSDEUR
2
10
4
6
8
Resp. of SGDAMU to
SGDAMU
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Thailand (ITHBWUSDEUR) and exchange rate of
AMU in Thailand (THBAMU)
Resp. of IT HBWUSDEUR to
IT HBWUSDEUR
Resp. of IT HBWUSDEUR to
T HBAMU
.08
.08
.04
.04
.00
.00
Resp. of T HBAMU to
IT HBWUSDEUR
.004
2
4
6
8
10
.004
.000
2
4
6
8
10
.000
2
61
Resp. of T HBAMU to
T HBAMU
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Indonesia (IIDRWUSDEUR) and exchange rate of
AMU in Indonesia (IDRAMU)
Resp. of IIDRWUSDEUR to
IIDRWUSDEUR
Resp. of IIDRWUSDEUR to
IDRAM U
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IIDRWUSDEUR
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Malaysia (IMYRWUSDEUR) and exchange rate of
AMU in Malaysia (MYRAMU)
Resp. of IMYRWUSDEUR to
MYRAMU
Resp. of IMYRWUSDEUR to
IMYRWUSDEUR
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of MYRAMU to
IMYRWUSDEUR
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Vietnam (IVNDWUSDEUR) and exchange rate of
AMU in Vietnam (VNDAMU)
Resp. of IVNDWUSDEUR to
IVNDWUSDEUR
Resp. of IVNDWUSDEUR to
VNDAMU
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of VNDAMU to
IVNDWUSDEUR
Resp. of VNDAMU to
VNDAMU
.004
.004
.000
.000
10
2
62
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in the Philippines (IPHPWUSDEUR) and exchange
rate of AMU in the Philippines (PHPAMU)
Resp. of IPHPWUSDEUR to
IPHPWUSDEUR
Resp. of IPHPWUSDEUR to
PHPAMU
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of PHPAMU to
IPHPWUSDEUR
Resp. of PHPAMU to
PHPAMU
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in China (ICNYWUSDEUR) and exchange rate of
AMU in China (CNYAMU)
Resp. of ICNYWUSDEUR to
CNYAM U
Resp. of ICNYWUSDEUR to
ICNYWUSDEUR
Resp. of CNYAMU to
ICNYWUSDEUR
Resp. of CNYAMU to
CNYAMU
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
63
4
6
8
10
2
4
6
8
10
(10).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of differential between a weighted average of interest
rates of US and euro zone and interest rates in East Asian countries to differential
between a weighted average of interest rates of US and euro zone and interest rates
in East Asian countries; response of differential between a weighted average of
interest rates of US and euro zone and interest rates in East Asian countries to
AMU deviation indicator in East Asian country; response of AMU deviation
indicator in East Asian country to differential between a weighted average of
interest rates of US and euro zone and interest rates in East Asian countries;
response of AMU deviation indicator in East Asian country to AMU deviation
indicator in East Asian country. Analytical period: January 1, 2000 to December 31,
2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between differential between a weighted average of interest rates of
US and euro zone and interest rates in Japan (IJPYWUSDEUR) and AMU
deviation indicator in Japan (JPYDI)
Resp. of IJPYWUSDEUR to
JPYDI
Resp. of IJPYWUSDEUR to
IJPYWUSDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of JPYDI to
IJPYWUSDEUR
Resp. of JPYDI to
JPYDI
.5
.5
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Korea (IKRWWUSDEUR) and AMU deviation
indicator in Korea (KRWDI)
Resp. of IKRWWUSDEUR to
IKRWWUSDEUR
Resp. of IKRWWUSDEUR to
KRWDI
Resp. of KRWDI to
IKRWWUSDEUR
Resp. of KRWDI to
KRWDI
.05
.05
.5
.5
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
64
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Hong Kong (IHKDWUSDEUR) and AMU deviation
indicator in Hong Kong (HKDDI)
Resp. of IHKDWUSDEUR to
IHKDWUSDEUR
Resp. of IHKDWUSDEUR to
HKDDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDDI to
IHKDWUSDEUR
Resp. of HKDDI to
HKDDI
.2
.2
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Singapore (ISGDWUSDEUR) and AMU deviation
indicator in Singapore (SGDDI)
Resp. of ISGDWUSDEUR to
ISGDWUSDEUR
Resp. of ISGDWUSDEUR to
SGDDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDDI to
ISGDWUSDEUR
Resp. of SGDDI to
SGDDI
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Thailand (ITHBWUSDEUR) and AMU deviation
indicator in Thailand (THBDI)
Resp. of IT HBWUSDEUR to
IT HBWUSDEUR
Resp. of IT HBWUSDEUR to
T HBDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of T HBDI to
IT HBWUSDEUR
.4
.4
.0
.0
2
10
65
Resp. of T HBDI to
T HBDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Indonesia (IIDRWUSDEUR) and AMU deviation
indicator in Indonesia (IDRDI)
Resp. of IIDRWUSDEUR to
IIDRWUSDEUR
Resp. of IIDRWUSDEUR to
IDRDI
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IIDRWUSDEUR
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Malaysia (IMYRWUSDEUR) and AMU deviation
indicator in Malaysia (MYRDI)
Resp. of IMYRWUSDEUR to
IMYRWUSDEUR
Resp. of IMYRWUSDEUR to
MYRDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRDI to
IMYRWUSDEUR
Resp. of MYRDI to
MYRDI
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Vietnam (IVNDWUSDEUR) and AMU deviation
indicator in Vietnam (VNDDI)
Resp. of IVNDWUSDEUR to
IVNDWUSDEUR
Resp. of IVNDWUSDEUR to
VNDDI
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of VNDDI to
IVNDWUSDEUR
.2
.2
.0
.0
2
10
66
Resp. of VNDDI to
VNDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in the Philippines (IPHPWUSDEUR) and AMU
deviation indicator in the Philippines (PHPDI)
Resp. of IPHPWUSDEUR to
IPHPWUSDEUR
.2
Resp. of IPHPWUSDEUR to
PHPDI
Resp. of PHPDI to
IPHPWUSDEUR
Resp. of PHPDI to
PHPDI
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
.4
.4
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in China (ICNYWUSDEUR) and AMU deviation
indicator in China (CNYDI)
Resp. of ICNYWUSDEUR to
CNYDI
Resp. of ICNYWUSDEUR to
ICNYWUSDEUR
Resp. of CNYDI to
ICNYWUSDEUR
Resp. of CNYDI to
CNYDI
.04
.04
.2
.2
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
67
4
6
8
10
2
4
6
8
10
(11).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and Japan to
interest differential between US and Japan; response of interest differential
between US and Japan to exchange rate of AMU in East Asian country; response of
exchange rate of AMU in East Asian country to interest differential between US
and Japan; response of exchange rate of AMU in East Asian country to exchange
rate of AMU in East Asian country. Analytical period: January 1, 2000 to December
31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IUSDJPY to
IUSDJPY
.04
.04
.00
.00
2
4
6
8
Resp. of KRWAMU to
IUSDJPY
Resp. of IUSDJPY to
KRWAMU
10
2
4
6
8
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IUSDJPY to
IUSDJPY
.05
.05
.00
.00
2
4
6
8
Resp. of HKDAMU to
IUSDJPY
Resp. of IUSDJPY to
HKDAMU
10
2
4
6
8
Resp. of HKDAMU to
HKDAMU
.002
.002
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
SGDAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDAMU to
IUSDJPY
Resp. of SGDAMU to
SGDAMU
.004
.004
.000
.000
10
2
68
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
T HBAMU
Resp. of T HBAMU to
IUSDJPY
Resp. of T HBAMU to
T HBAMU
.05
.05
.004
.004
.00
.00
.000
.000
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IUSDJPY to
IUSDJPY
.05
Resp. of IUSDJPY to
IDRAMU
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IUSDJPY
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IUSDJPY to
MYRAMU
Resp. of IUSDJPY to
IUSDJPY
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRAMU to
IUSDJPY
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
VNDAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDAMU to
IUSDJPY
Resp. of VNDAMU to
VNDAMU
.004
.004
.000
.000
10
2
69
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
PHPAMU
Resp. of PHPAMU to
IUSDJPY
Resp. of PHPAMU to
PHPAMU
.05
.05
.004
.004
.00
.00
.000
.000
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
China (CNYAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
CNYAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYAMU to
IUSDJPY
Resp. of CNYAMU to
CNYAMU
.002
.002
.000
.000
10
2
70
4
6
8
10
2
4
6
8
10
(12).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and Japan to
interest differential between US and Japan; response of interest differential
between US and Japan to AMU deviation indicator in East Asian country; response
of AMU deviation indicator in East Asian country to interest differential between
US and Japan; response of AMU deviation indicator in East Asian country to AMU
deviation indicator in East Asian country. Analytical period: January 1, 2000 to
December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator
in Korea (KRWDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
KRWDI
Resp. of KRWDI to
IUSDJPY
Resp. of KRWDI to
KRWDI
.05
.05
.5
.5
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IUSDJPY to
HKDDI
Resp. of IUSDJPY to
IUSDJPY
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDDI to
IUSDJPY
Resp. of HKDDI to
HKDDI
.2
.2
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
SGDDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDDI to
IUSDJPY
10
.4
.4
.0
.0
2
71
Resp. of SGDDI to
SGDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
T HBDI
Resp. of T HBDI to
IUSDJPY
Resp. of T HBDI to
T HBDI
.05
.05
.4
.4
.00
.00
.0
.0
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IUSDJPY to
IUSDJPY
.05
Resp. of IUSDJPY to
IDRDI
Resp. of IDRDI to
IUSDJPY
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
MYRDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRDI to
IUSDJPY
Resp. of MYRDI to
MYRDI
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IUSDJPY to
IUSDJPY
.05
Resp. of IUSDJPY to
VNDDI
Resp. of VNDDI to
IUSDJPY
.05
.00
.2
.00
2
4
6
8
10
Resp. of VNDDI to
VNDDI
.2
.0
2
4
6
8
10
.0
2
72
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
PHPDI
Resp. of PHPDI to
IUSDJPY
Resp. of PHPDI to
PHPDI
.05
.05
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
China (CNYDI)
Resp. of IUSDJPY to
IUSDJPY
.05
Resp. of IUSDJPY to
CNYDI
Resp. of CNYDI to
IUSDJPY
.05
.00
.2
.00
2
4
6
8
10
Resp. of CNYDI to
CNYDI
.2
.0
2
4
6
8
10
.0
2
73
4
6
8
10
2
4
6
8
10
(13).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between euro zone and Japan to
interest differential between euro zone and Japan; response of interest differential
between euro zone and Japan to exchange rate of AMU in East Asian country;
response of exchange rate of AMU in East Asian country to interest differential
between euro zone and Japan; response of exchange rate of AMU in East Asian
country to exchange rate of AMU in East Asian country. Analytical period: January
1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
KRWAMU
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of KRWAMU to
IEURJPY
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IEURJPY to
HKDAMU
Resp. of IEURJPY to
IEURJPY
.04
Resp. of HKDAMU to
IEURJPY
Resp. of HKDAMU to
HKDAMU
.04
.00
.00
2
4
6
8
10
2
4
6
8
.002
.002
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
SGDAMU
Resp. of SGDAMU to
IEURJPY
Resp. of SGDAMU to
SGDAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
74
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
T HBAMU
Resp. of T HBAMU to
IEURJPY
Resp. of T HBAMU to
T HBAMU
.04
.00
.00
2
4
6
8
2
10
4
6
8
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IEURJPY to
IDRAMU
Resp. of IEURJPY to
IEURJPY
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IEURJPY
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
MYRAMU
Resp. of MYRAMU to
IEURJPY
Resp. of MYRAMU to
MYRAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
VNDAMU
Resp. of VNDAMU to
IEURJPY
Resp. of VNDAMU to
VNDAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
75
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
PHPAMU
Resp. of PHPAMU to
IEURJPY
Resp. of PHPAMU to
PHPAMU
.04
.00
.00
2
4
6
8
2
10
4
6
8
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
China (CNYAMU)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of CNYAMU to
IEURJPY
Resp. of IEURJPY to
CNYAMU
Resp. of CNYAMU to
CNYAMU
.04
.00
.00
2
4
6
8
10
2
4
6
8
.002
.002
.000
.000
10
2
76
4
6
8
10
2
4
6
8
10
(14).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between euro zone and Japan to
interest differential between euro zone and Japan; response of interest differential
between euro zone and Japan to AMU deviation indicator in East Asian country;
response of AMU deviation indicator in East Asian country to interest differential
between euro zone and Japan; response of AMU deviation indicator in East Asian
country to AMU deviation indicator in East Asian country. Analytical period:
January 1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IEURJPY) and AMU deviation indicator
in Korea (KRWDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
KRWDI
.04
.04
.00
.00
2
4
6
8
10
Resp. of KRWDI to
IEURJPY
Resp. of KRWDI to
KRWDI
.5
.5
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IEURJPY to
HKDDI
Resp. of IEURJPY to
IEURJPY
Resp. of HKDDI to
IEURJPY
Resp. of HKDDI to
HKDDI
.04
.04
.2
.00
.00
2
4
6
8
.0
2
10
.2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
SGDDI
Resp. of SGDDI to
IEURJPY
Resp. of SGDDI to
SGDDI
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
2
10
77
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
T HBDI
Resp. of T HBDI to
IEURJPY
Resp. of T HBDI to
T HBDI
.04
.00
.00
2
4
6
8
2
10
4
6
8
.4
.4
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
IDRDI
Resp. of IDRDI to
IEURJPY
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IEURJPY to
IEURJPY
Resp. of MYRDI to
IEURJPY
Resp. of IEURJPY to
MYRDI
Resp. of MYRDI to
MYRDI
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
VNDDI
Resp. of VNDDI to
IEURJPY
Resp. of VNDDI to
VNDDI
.04
.00
.00
2
4
6
8
10
2
4
6
8
.2
.2
.0
.0
2
10
78
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
PHPDI
Resp. of PHPDI to
IEURJPY
Resp. of PHPDI to
PHPDI
.04
.00
.00
2
4
6
8
10
2
4
6
8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
China (CNYDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
CNYDI
Resp. of CNYDI to
IEURJPY
Resp. of CNYDI to
CNYDI
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
.2
.2
.0
.0
2
79
4
6
8
10
2
4
6
8
10
(15).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and euro zone to
interest differential between US and euro zone; response of interest differential
between US and euro zone to exchange rate of AMU in East Asian country;
response of exchange rate of AMU in East Asian country to interest differential
between US and euro zone; response of exchange rate of AMU in East Asian
country to exchange rate of AMU in East Asian country. Analytical period: January
1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Japan (JPYAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
JPYAMU
Resp. of JPYAMU to
IUSDEUR
Resp. of JPYAMU to
JPYAMU
.04
.04
.004
.004
.00
.00
.000
.000
4
2
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IUSDEUR to
KRWAMU
Resp. of IUSDEUR to
IUSDEUR
.050
.050
.025
.025
.000
.000
2
4
6
8
2
10
4
6
8
Resp. of KRWAMU to
IUSDEUR
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
HKDAMU
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDAMU to
IUSDEUR
Resp. of HKDAMU to
HKDAMU
.002
.002
.000
.000
10
2
80
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
SGDAM U
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDAM U to
IUSDEUR
Resp. of SGDAM U to
SGDAM U
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
T HBAMU
Resp. of T HBAMU to
IUSDEUR
.04
.04
.004
.00
.00
.000
2
4
6
8
10
2
4
6
8
10
Resp. of T HBAMU to
T HBAMU
.004
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IUSDEUR to
IDRAMU
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IUSDEUR
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
MYRAMU
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRAMU to
IUSDEUR
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
81
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
VNDAMU
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDAMU to
IUSDEUR
Resp. of VNDAMU to
VNDAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
PHPAMU
Resp. of PHPAMU to
IUSDEUR
Resp. of PHPAMU to
PHPAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
China (CNYAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
CNYAMU
Resp. of CNYAMU to
IUSDEUR
Resp. of CNYAMU to
CNYAMU
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
82
4
6
8
10
2
4
6
8
10
(16).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and euro zone to
interest differential between US and euro zone; response of interest differential
between US and euro zone to AMU deviation indicator in East Asian country;
response of AMU deviation indicator in East Asian country to interest differential
between US and euro zone; response of AMU deviation indicator in East Asian
country to AMU deviation indicator in East Asian country. Analytical period:
January 1, 2000 to December 31, 2013. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator
in Japan (JPYDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
JPYDI
Resp. of JPYDI to
IUSDEUR
Resp. of JPYDI to
JPYDI
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Korea (KRWDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
KRWDI
Resp. of KRWDI to
IUSDEUR
.04
.04
.5
.00
.00
.0
2
4
6
8
10
2
4
6
8
10
Resp. of KRWDI to
KRWDI
.5
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IUSDEUR to
IUSDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDDI to
HKDDI
Resp. of HKDDI to
IUSDEUR
Resp. of IUSDEUR to
HKDDI
.2
.2
.0
.0
2
10
83
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
SGDDI
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of SGDDI to
SGDDI
Resp. of SGDDI to
IUSDEUR
.4
.4
.0
.0
10
2
4
6
8
2
10
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IUSDEUR to
IUSDEUR
.050
Resp. of IUSDEUR to
THBDI
Resp. of THBDI to
IUSDEUR
Resp. of THBDI to
THBDI
.050
.025
.025
.000
.000
2
4
6
10
8
2
4
6
.4
.4
.0
.0
10
8
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IUSDEUR to
IDRDI
Resp. of IUSDEUR to
IUSDEUR
Resp. of IDRDI to
IUSDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
MYRDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRDI to
IUSDEUR
.4
.4
.0
.0
2
10
84
Resp. of MYRDI to
MYRDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
VNDDI
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of VNDDI to
IUSDEUR
Resp. of VNDDI to
VNDDI
.2
.2
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IUSDEUR to
IUSDEUR
.04
.00
2
4
6
8
Resp. of IUSDEUR to
PHPDI
Resp. of PHPDI to
IUSDEUR
Resp. of PHPDI to
PHPDI
.04
.4
.4
.00
.0
.0
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
China (CNYDI)
Resp. of IUSDEUR to
CNYDI
Resp. of IUSDEUR to
IUSDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYDI to
IUSDEUR
10
.2
.2
.0
.0
2
85
Resp. of CNYDI to
CNYDI
4
6
8
10
2
4
6
8
10
(17).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of interest differential between US and East Asian
country to interest differential between US and East Asian country; response of
interest differential between US and East Asian country to portfolio investment of
East Asian country; response of portfolio investment of East Asian country to
interest differential between US and East Asian country; response of portfolio
investment of East Asian country to portfolio investment of East Asian country.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. for 24 months
(Japan and Korea) and 8 quarters (Hong Kong, Singapore, Thailand, Indonesia,
Malaysia, and the Philippines). Analytical period: January 2000 to the December
2013 for Japan and Korea, Q1:2000 to Q2:2013 for Hong Kong, Singapore, Thailand,
and the Philippines, Q1:2000 to Q4: 2012 for Indonesia, Q1:2000 to Q3: 2012 for
Malaysia. Data: Datastream, Balance of Payments Statistics (IMF), Bank of Japan,
and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDJPY) and portfolio investment of
Japan (Portfolio)
Resp. of IUSDJPY to
IUSDJPY
Resp. of Portfolio to
IUSDJPY
Resp. of IUSDJPY to
Portfolio
.8
.8
.4
.4
.0
.0
10
10
0
0
-10
5
5
10 15 20
Resp. of Portfolio to
Portfolio
10 15 20
-10
5
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDKRW) and portfolio investment of
Korea (Portfolio)
Resp. of IUSDKRW to
IUSDKRW
0
Resp. of IUSDKRW to
Portfolio
0
5
10 15 20
5
Resp. of Portfolio to
Portfolio
Resp. of Portfolio to
IUSDKRW
10 15 20
80
80
40
40
0
0
5
86
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDHKD) and portfolio investment of
Hong Kong (Portfolio)
Resp. of IHKDUSD to
IHKDUSD
.4
.4
.0
.0
-.4
Resp. of Portfolio to
IHKDUSD
Resp. of IHKDUSD to
Portfolio
0
Resp. of Portfolio to
Portfolio
0
-.4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDSGD) and portfolio investment of
Singapore (Portfolio)
Resp. of ISGDUSD to
ISGDUSD
Resp. of ISGDUSD to
Portfolio
1
1
0
0
Resp. of Portfolio to
ISGDUSD
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDTHB) and portfolio investment of
Thailand (Portfolio)
Resp. of IT HBUSD to
IT HBUSD
Resp. of Portfolio to
IT HBUSD
Resp. of IT HBUSD to
Portfolio
Resp. of Portfolio to
Portfolio
1
1
5
5
0
0
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDIDR) and portfolio investment of
Indonesia (Portfolio)
Resp. of IIDRUSD to
IIDRUSD
Resp. of IIDRUSD to
Portfolio
Resp. of Portfolio to
IIDRUSD
Resp. of Portfolio to
Portfolio
4
4
20
20
0
0
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
87
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDMYR) and portfolio investment of
Malaysia (Portfolio)
Resp. of IMYRUSD to
IMYRUSD
Resp. of IMYRUSD to
Portfolio
2
2
1
1
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
IMYRUSD
Resp. of Portfolio to
Portfolio
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDPHP) and portfolio investment of the
Philippines (Portfolio)
Resp. of IPHPUSD to
IPHPUSD
Resp. of IPHPUSD to
Portfolio
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
IPHPUSD
1 2 3 4 5 6 7 8
10
10
0
0
1 2 3 4 5 6 7 8
88
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
(18).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of interest differential between US and East Asian
country to interest differential between US and East Asian country; response of
interest differential between US and East Asian country to other investment of
East Asian country; response of other investment of East Asian country to interest
differential between US and East Asian country; response of other investment of
East Asian country to other investment of East Asian country. Accumulated
Response to Cholesky One S.D. Innovations ± 2 S.E. for 24 months (Japan and
Korea) and 8 quarters (Hong Kong, Singapore, Thailand, Indonesia, Malaysia,
Vietnam and the Philippines). Analytical period: January 2000 to the December
2013 for Japan and Korea, Q1:2000 to Q2:2013 for Hong Kong, Singapore, Thailand,
and the Philippines, Q1:2000 to Q4: 2012 for Indonesia, Q1:2000 to Q3: 2012 for
Malaysia and Vietnam. Data: Datastream, Balance of Payments Statistics (IMF),
Bank of Japan, and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDJPY) and other investment of
Japan (Others)
Resp. of IUSDJPY to
IUSDJPY
0
Resp. of IUSDJPY to
Others
Resp. of Others to
IUSDJPY
0
5
10 15 20
5
Resp. of Others to
Others
20
20
0
0
5
10 15 20
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDKRW) and other investment of Korea
(Others)
0
0
5
10 15 20
5
Resp. of Others to
Others
Resp. of Others to
IUSDKRW
Resp. of IUSDKRW to
Others
Resp. of IUSDKRW to
IUSDKRW
20
20
0
0
5
10 15 20
89
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDHKD) and other investment of Hong
Kong (Others)
Resp. of IHKDUSD to
IHKDUSD
Resp. of IHKDUSD to
Others
.5
.5
.0
.0
1 2 3 4 5 6 7 8
Resp. of Others to
IHKDUSD
Resp. of Others to
Others
10
10
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDSGD) and other investment of
Singapore (Others)
Resp. of ISGDUSD to
ISGDUSD
Resp. of ISGDUSD to
Others
1
1
0
0
Resp. of Others to
ISGDUSD
0
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDTHB) and other investment of
Thailand (Others)
Resp. of IT HBUSD to
Others
Resp. of IT HBUSD to
IT HBUSD
0
Resp. of Others to
IT HBUSD
0
-2
-2
1 2 3 4 5 6 7 8
Resp. of Others to
Others
40
40
0
0
-40
-40
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDIDR) and other investment of
Indonesia (Others)
Resp. of IIDRUSD to
IIDRUSD
4
Resp. of IIDRUSD to
Others
Resp. of Others to
IIDRUSD
Resp. of Others to
Others
4
0
4
4
0
0
0
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
-4
1 2 3 4 5 6 7 8
90
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDMYR) and other investment of
Malaysia (Others)
Resp. of IMYRUSD to
Others
Resp. of IMYRUSD to
IMYRUSD
1
1
0
0
Resp. of Others to
IMYRUSD
0
0
-400
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
-400
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDVND) and other investment of
Vietnam (Others)
Resp. of IVNDUSD to
IVNDUSD
4
Resp. of IVNDUSD to
Others
Resp. of Others to
IVNDUSD
Resp. of Others to
Others
4
0
0
1 2 3 4 5 6 7 8
10
10
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDPHP) and other investment of the
Philippines (Others)
Resp. of IPHPUSD to
IPHPUSD
Resp. of IPHPUSD to
Others
Resp. of Others to
IPHPUSD
Resp. of Others to
Others
2
2
10
10
0
0
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
91
1 2 3 4 5 6 7 8
(19).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of expected return differential between US and East
Asian country to expected return differential between US and East Asian country;
response of expected return differential between US and East Asian country to
portfolio investment of East Asian country; response of portfolio investment of East
Asian country to expected return differential between US and East Asian country;
response of portfolio investment of East Asian country to portfolio investment of
East Asian country. Accumulated Response to Cholesky One S.D. Innovations ± 2
S.E. for 24 months (Japan and Korea) and 8 quarters (Hong Kong, Singapore,
Thailand, Indonesia, Malaysia, and the Philippines). Analytical period: January
2000 to the December 2013 for Japan and Korea, Q1:2000 to Q2:2013 for Hong
Kong, Singapore, Thailand, and the Philippines, Q1:2000 to Q4: 2012 for Indonesia,
Q1:2000 to Q3: 2012 for Malaysia. Data: Datastream, Balance of Payments
Statistics (IMF), Bank of Japan, and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between expected return differential between US and Japan (Return)
and portfolio investment of Japan (Portfolio)
.8
.8
.4
.4
.0
.0
10
10
0
0
-10
-10
5
5
10 15 20
Resp. of Portfolio to
Portfolio
Resp. of Portfolio to
Return
Resp. of Return to
Portfolio
Resp. of Return to
Return
5
10 15 20
5
10 15 20
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between expected return differential between US and Korea (Return) and
portfolio investment of Korea (Portfolio)
Resp. of Return to
Return
0
Resp. of Return to
Portfolio
Resp. of Portfolio to
Return
0
5
10 15 20
5
10 15 20
80
80
40
40
0
0
5
92
Resp. of Portfolio to
Portfolio
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between expected return differential between US and Hong Kong (Return)
and portfolio investment of Hong Kong (Portfolio)
Resp. of Return to
Return
Resp. of Return to
Portfolio
.4
.4
.0
.0
-.4
Resp. of Portfolio to
Return
0
Resp. of Portfolio to
Portfolio
0
-.4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between expected return differential between US and Singapore (Return)
and portfolio investment of Singapore (Portfolio)
Resp. of Return to
Return
Resp. of Return to
Portfolio
1
1
0
0
Resp. of Portfolio to
Return
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between expected return differential between US and Thailand (Return)
and portfolio investment of Thailand (Portfolio)
Resp. of Return to
Return
Resp. of Portfolio to
Return
Resp. of Return to
Portfolio
Resp. of Portfolio to
Portfolio
1
1
5
5
0
0
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between expected return differential between US and Indonesia (Return)
and portfolio investment of Indonesia (Portfolio)
Resp. of Return to
Portfolio
Resp. of Return to
Return
Resp. of Portfolio to
Return
Resp. of Portfolio to
Portfolio
4
4
20
20
0
0
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
93
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between expected return differential between US and Malaysia (Return)
and portfolio investment of Malaysia (Portfolio)
Resp. of Return to
Return
Resp. of Return to
Portfolio
2
2
1
1
0
0
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
Resp. of Portfolio to
Return
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between expected return differential between US and the Philippines
(Return) and portfolio investment of the Philippines (Portfolio)
Resp. of Return to
Portfolio
Resp. of Return to
Return
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Return
1 2 3 4 5 6 7 8
10
10
0
0
1 2 3 4 5 6 7 8
94
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
(20).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of expected return differential between US and East
Asian country to expected return differential between US and East Asian country;
response of expected return differential between US and East Asian country to
other investment of East Asian country; response of other investment of East Asian
country to expected return differential between US and East Asian country;
response of other investment of East Asian country to other investment of East
Asian country. Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
for 24 months (Japan and Korea) and 8 quarters (Hong Kong, Singapore, Thailand,
Indonesia, Malaysia, Vietnam and the Philippines). Analytical period: January
2000 to the December 2013 for Japan and Korea, Q1:2000 to Q2:2013 for Hong
Kong, Singapore, Thailand, and the Philippines, Q1:2000 to Q4: 2012 for Indonesia,
Q1:2000 to Q3: 2012 for Malaysia and Vietnam. Data: Datastream, Balance of
Payments Statistics (IMF), Bank of Japan, and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between expected return differential between US and Japan (Return)
and other investment of Japan (Others)
Resp. of Return to
Return
0
Resp. of Return to
Others
Resp. of Others to
Return
0
5
10 15 20
5
Resp. of Others to
Others
20
20
0
0
10 15 20
5
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between expected return differential between US and Korea (Return) and
other investment of Korea (Others)
Resp. of Return to
Return
Resp. of Return to
Others
.8
.8
.4
.4
.0
.0
5
10 15 20
5
Resp. of Others to
Return
10 15 20
20
20
0
0
5
95
Resp. of Others to
Others
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between expected return differential between US and Hong Kong (Return)
and other investment of Hong Kong (Others)
Resp. of Return to
Return
Resp. of Others to
Return
Resp. of Return to
Others
.5
.5
.0
.0
10
10
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between expected return differential between US and Singapore (Return)
and other investment of Singapore (Others)
Resp. of Return to
Return
Resp. of Return to
Others
1
1
0
0
Resp. of Others to
Return
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between expected return differential between US and Thailand (Return)
and other investment of Thailand (Others)
Resp. of Return to
Return
0
Resp. of Return to
Others
Resp. of Others to
Return
Resp. of Others to
Others
40
40
0
0
0
-2
-2
1 2 3 4 5 6 7 8
-40
1 2 3 4 5 6 7 8
-40
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between expected return differential between US and Indonesia (Return)
and other investment of Indonesia (Others)
Resp. of Return to
Return
4
Resp. of Return to
Others
Resp. of Others to
Return
Resp. of Others to
Others
4
0
4
4
0
0
0
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
-4
1 2 3 4 5 6 7 8
96
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between expected return differential between US and Malaysia (Return)
and other investment of Malaysia (Others)
Resp. of Return to
Return
Resp. of Return to
Others
1
1
0
0
Resp. of Others to
Return
0
0
-400
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
-400
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between expected return differential between US and Vietnam (Return)
and other investment of Vietnam (Others)
Resp. of Return to
Return
4
Resp. of Return to
Others
Resp. of Others to
Return
Resp. of Others to
Others
4
0
0
1 2 3 4 5 6 7 8
10
10
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between expected return differential between US and the Philippines
(Return) and other investment of the Philippines (Others)
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
Return
Resp. of Return to
Others
Resp. of Return to
Return
10
10
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
97
Resp. of Others to
Others
1 2 3 4 5 6 7 8
2.
Subsample period (2000~2008)
In order to analyze the effects of change in interest rates in the United States on
variables in East Asian countries, we used a VAR model expressed by the following
equation.
∆Yt = µ + A(L )∆Yt −1 + ε t
where µ denotes a constant term, A(L ) denotes a lag coefficient, and
ε
denotes a
standard error. ∆ denotes differences of the first order, Y is a n × 1 vector, and
′
Y = (Y1 , Y2 ,  , Yn ) .
(1). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest rate in US to interest rate in US; response of
interest rate in US to interest rate in East Asian country; response of interest rate
in East Asian country to interest rate in US; response of interest rate in East Asian
country to interest rate in East Asian country. Analytical period: January 1, 2000 to
December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest rate in US (IUSD) and interest rate in Japan (IJPY)
Resp. of IUSD to
IUSD
Resp. of IJPY to
IUSD
Resp. of IUSD to
IJPY
.08
.08
.04
.04
.00
.00
Resp. of IJPY to
IJPY
.01
.01
.00
2
4
6
8
10
2
4
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest rate in US (IUSD) and interest rate in Korea (IKRW)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IKRW
.08
.08
.04
.04
.00
.00
Resp. of IKRW to
IUSD
Resp. of IKRW to
IKRW
.04
.04
.00
2
4
6
8
10
2
4
6
8
10
.00
2
98
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest rate in US (IUSD) and interest rate in Hong Kong
(IHKD)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IHKD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
4
2
6
8
Resp. of IHKD to
IUSD
Resp. of IHKD to
IHKD
.08
.08
.04
.04
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest rate in US (IUSD) and interest rate in Singapore (ISGD)
Resp. of IUSD to
IUSD
Resp. of IUSD to
ISGD
.08
.08
.04
.04
.00
.00
Resp. of ISGD to
IUSD
Resp. of ISGD to
ISGD
.050
.050
.025
.025
.000
2
4
6
8
10
2
4
6
8
10
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest rate in US (IUSD) and interest rate in Thailand (ITHB)
Resp. of IUSD to
IT HB
Resp. of IUSD to
IUSD
Resp. of IT HB to
IUSD
Resp. of IT HB to
IT HB
.08
.08
.08
.08
.04
.04
.04
.04
.00
.00
.00
.00
2
4
6
8
10
4
2
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest rate in US (IUSD) and interest rate in Indonesia (IIDR)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IIDR
Resp. of IIDR to
IUSD
Resp. of IIDR to
IIDR
.08
.08
.04
.04
.1
.1
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
99
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest rate in US (IUSD) and interest rate in Malaysia (IMYR)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IMYR
Resp. of IMYR to
IUSD
Resp. of IMYR to
IMYR
.08
.08
.02
.02
.04
.04
.01
.01
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest rate in US (IUSD) and interest rate in Vietnam (IVND)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IVND
Resp. of IVND to
IUSD
Resp. of IVND to
IVND
.08
.08
.2
.2
.04
.04
.1
.1
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest rate in US (IUSD) and interest rate in the Philippines
(IPHP)
Resp. of IUSD to
IUSD
Resp. of IUSD to
IPHP
Resp. of IPHP to
IUSD
Resp. of IPHP to
IPHP
.08
.08
.2
.2
.04
.04
.1
.1
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest rate in US (IUSD) and interest rate in China (ICNY)
Resp. of IUSD to
IUSD
Resp. of IUSD to
ICNY
.08
.08
.04
.04
.00
.00
2
4
6
8
10
Resp. of ICNY to
IUSD
Resp. of ICNY to
ICNY
.01
.01
.00
2
4
6
8
.00
2
10
100
4
6
8
10
2
4
6
8
10
(2). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest rate in euro zone to interest rate in euro zone;
response of interest rate in euro zone to interest rate in East Asian country;
response of interest rate in East Asian country to interest rate in euro zone;
response of interest rate in East Asian country to interest rate in East Asian
country. Analytical period: January 1, 2000 to December 15, 2008. Data:
Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest rate in euro zone (IEUR) and interest rate in Japan
(IJPY)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IJPY
.04
.04
.00
.00
Resp. of IJPY to
IEUR
Resp. of IJPY to
IJPY
.01
.01
.00
4
2
6
8
10
4
2
6
8
10
.00
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest rate in euro zone (IEUR) and interest rate in Korea
(IKRW)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IKRW
.050
.050
.025
.025
Resp. of IKRW to
IEUR
Resp. of IKRW to
IKRW
.04
.000
.000
2
4
6
8
10
.04
.00
2
4
6
8
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest rate in euro zone (IEUR) and interest rate in Hong Kong
(IHKD)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IHKD
.04
.04
.00
.00
Resp. of IHKD to
IEUR
Resp. of IHKD to
IHKD
.10
.10
.05
.05
.00
2
4
6
8
10
2
4
6
8
10
.00
2
101
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest rate in euro zone (IEUR) and interest rate in Singapore
(ISGD)
Resp. of IEUR to
IEUR
Resp. of IEUR to
ISGD
Resp. of ISGD to
IEUR
Resp. of ISGD to
ISGD
.04
.04
.04
.04
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest rate in euro zone (IEUR) and interest rate in Thailand
(ITHB)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IT HB
.04
Resp. of IT HB to
IEUR
Resp. of IT HB to
IT HB
.08
.08
.04
.04
.00
.00
.04
.00
.00
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest rate in euro zone (IEUR) and interest rate in Indonesia
(IIDR)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IIDR
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of IIDR to
IEUR
Resp. of IIDR to
IIDR
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest rate in euro zone (IEUR) and interest rate in Malaysia
(IMYR)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IMYR
.04
Resp. of IMYR to
IEUR
Resp. of IMYR to
IMYR
.02
.02
.01
.01
.00
.00
.04
.00
.00
2
4
6
8
10
2
4
6
8
2
10
102
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest rate in euro zone (IEUR) and interest rate in Vietnam
(IVND)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IVND
.04
Resp. of IVND to
IEUR
Resp. of IVND to
IVND
.2
.2
.1
.1
.0
.0
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest rate in euro zone (IEUR) and interest rate in the
Philippines (IPHP)
Resp. of IEUR to
IEUR
Resp. of IEUR to
IPHP
.04
Resp. of IPHP to
IEUR
Resp. of IPHP to
IPHP
.2
.2
.1
.1
.0
.0
.04
.00
.00
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest rate in euro zone (IEUR) and interest rate in China
(ICNY)
Resp. of IEUR to
ICNY
Resp. of IEUR to
IEUR
Resp. of ICNY to
IEUR
Resp. of ICNY to
ICNY
.04
.04
.01
.01
.00
.00
.00
.00
2
4
6
8
10
2
4
6
8
10
2
103
4
6
8
10
2
4
6
8
10
(3). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of weighted average of interest rate in US and euro zone to
weighted average of interest rate in US and euro zone; response of weighted
average of interest rate in US and euro zone to weighted average of interest rate of
East Asian countries; response of weighted average of interest rate of East Asian
countries to weighted average of interest rate in US and euro zone; response of
weighted average of interest rate of East Asian countries to weighted average of
interest rate of East Asian countries. Analytical period: January 1, 2000 to
December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and a weighted average of interest rate of East Asian countries (IASA)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
IASIA
Resp. of IASIA to
IUSDEUR
Resp. of IASIA to
IASIA
.05
.01
.00
.00
2
4
6
8
10
.01
.00
2
4
6
8
10
.00
2
104
4
6
8
10
2
4
6
8
10
(4). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of weighted average of interest rate in US and euro zone to
weighted average of interest rate in US and euro zone; response of weighted
average of interest rate in US and euro zone to interest rate in East Asian country;
response of interest rate in East Asian country to weighted average of interest rate
in US and euro zone; response of interest rate in East Asian country to interest rate
in East Asian country. Analytical period: January 1, 2000 to December 15, 2008.
Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Japan (IJPY)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IJPY
.05
.05
.00
.00
2
4
6
8
10
Resp. of IJPY to
IUSDEUR
Resp. of IJPY to
IJPY
.01
.01
.00
2
4
6
8
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Korea (IKRW)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IKRW
.05
Resp. of IKRW to
IUSDEUR
Resp. of IKRW to
IKRW
.05
.04
.00
.00
2
4
6
8
10
.04
.00
2
4
6
8
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Hong Kong (IHKD)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IHKD
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IHKD to
IUSDEUR
10
.08
.08
.04
.04
2
105
Resp. of IHKD to
IHKD
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Singapore (ISGD)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
ISGD
.05
.05
.00
.00
2
4
6
8
Resp. of ISGD to
ISGD
.050
.050
.025
.025
.000
2
10
Resp. of ISGD to
IUSDEUR
4
6
8
10
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Thailand (ITHB)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IT HB
.05
Resp. of IT HB to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IT HB to
IT HB
.08
.08
.04
.04
.00
.00
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Indonesia (IIDR)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
IIDR
.05
Resp. of IIDR to
IUSDEUR
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of IIDR to
IIDR
.1
.1
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Malaysia (IMYR)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
IMYR
Resp. of IMYR to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
10
.02
.02
.01
.01
.00
.00
2
106
Resp. of IMYR to
IMYR
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in Vietnam (IVND)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
IVND
Resp. of IVND to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IVND to
IVND
.2
.2
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in the Philippines (IPHP)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
IPHP
Resp. of IPHP to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IPHP to
IPHP
.2
.2
.1
.1
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between a weighted average of interest rate in US and euro zone
(IUSDEUR) and interest rate in China (ICNY)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
ICNY
Resp. of ICNY to
IUSDEUR
.05
.05
.01
.00
.00
.00
2
4
6
8
10
2
4
6
8
.01
.00
2
10
107
Resp. of ICNY to
ICNY
4
6
8
10
2
4
6
8
10
(5). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest differential between US and East Asian country to
interest differential between US and East Asian country; response of interest
differential between US and East Asian country to exchange rate of East Asian
country in terms of US dollar; response of exchange rate of East Asian country in
terms of US dollar to interest differential between US and East Asian country;
response of exchange rate of East Asian country in terms of US dollar to exchange
rate of East Asian country in terms of US dollar. Analytical period: January 1, 2000
to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential between US and Japan (IUSDJPY) and
exchange rate of Japan (EJPYUSD)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
EJPYUSD
.08
.08
.04
.04
.00
.00
Resp. of EJPYUSD to
IUSDJPY
.004
.004
.000
2
4
6
8
10
2
4
6
8
10
Resp. of EJPYUSD to
EJPYUSD
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential between US and Korea (IUSDKRW) and
exchange rate of Korea (EKRWUSD)
Resp. of IUSDKRW to
IUSDKRW
Resp. of IUSDKRW to
EKRWUSD
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EKRWUSD to
IUSDKRW
Resp. of EKRWUSD to
EKRWUSD
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential between US and Hong Kong (IUSDHKD) and
exchange rate of Hong Kong (EHKDUSD)
Resp. of IUSDHKD to
IUSDHKD
Resp. of IUSDHKD to
EHKDUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EHKDUSD to
IUSDHKD
Resp. of EHKDUSD to
EHKDUSD
.0004
.0004
.0000
.0000
10
2
108
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential between US and Singapore (IUSDSGD) and
exchange rate of Singapore (ESGDUSD)
Resp. of IUSDSGD to
IUSDSGD
Resp. of IUSDSGD to
ESGDUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ESGDUSD to
IUSDSGD
Resp. of ESGDUSD to
ESGDUSD
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential between US and Thailand (IUSDTHB) and
exchange rate of Thailand (ETHBUSD)
Resp. of IUSDT HB to
IUSDT HB
Resp. of IUSDT HB to
ET HBUSD
Resp. of ET HBUSD to
IUSDT HB
Resp. of ET HBUSD to
ET HBUSD
.1
.1
.004
.004
.0
.0
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential between US and Indonesia (IUSDIDR) and
exchange rate of Indonesia (EIDRUSD)
Resp. of IUSDIDR to
IUSDIDR
.1
.1
.0
.0
2
4
6
8
Resp. of EIDRUSD to
IUSDIDR
Resp. of IUSDIDR to
EIDRUSD
10
2
4
6
8
Resp. of EIDRUSD to
EIDRUSD
.01
.01
.00
.00
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential between US and Malaysia (IUSDMYR) and
exchange rate of Malaysia (EMYRUSD)
Resp. of IUSDMYR to
IUSDMYR
Resp. of IUSDMYR to
EMYRUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EMYRUSD to
IUSDMYR
Resp. of EMYRUSD to
EMYRUSD
.002
.002
.000
.000
10
2
109
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential between US and Vietnam (IUSDVND) and
exchange rate of Vietnam (EVNDUSD)
Resp. of IUSDVND to
EVNDUSD
Resp. of IUSDVND to
IUSDVND
.2
.2
.1
.1
.0
.0
6
4
2
8
10
2
4
6
8
Resp. of EVNDUSD to
IUSDVND
Resp. of EVNDUSD to
EVNDUSD
.001
.001
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential between US and the Philippines (IUSDPHP)
and exchange rate of the Philippines (EPHPUSD)
Resp. of IUSDPHP to
IUSDPHP
Resp. of IUSDPHP to
EPHPUSD
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp.of EPHPUSD to
IUSDPHP
Resp. of EPHPUSD to
EPHPUSD
.005
.005
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential between US and China (IUSDCNY) and
exchange rate of China (ECNYUSD)
Resp. of IUSDCNY to
IUSDCNY
Resp. of IUSDCNY to
ECNYUSD
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ECNYUSD to
IUSDCNY
Resp. of ECNYUSD to
ECNYUSD
.001
.001
.000
.000
10
2
110
4
6
8
10
2
4
6
8
10
(6). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of interest differential between euro zone and East Asian
country to interest differential between euro zone and East Asian country; response
of interest differential between euro zone and East Asian country to exchange rate
of East Asian country in terms of euro; response of exchange rate of East Asian
country in terms of euro to interest differential between euro zone and East Asian
country; response of exchange rate of East Asian country in terms of euro to
exchange rate of East Asian country in terms of euro. Analytical period: January 1,
2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential between euro zone and Japan (IEURJPY)
and exchange rate of Japan (EJPYEUR)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
EJPYEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EJPYEUR to
IEURJPY
Resp. of EJPYEUR to
EJPYEUR
.01
.01
.00
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential between euro zone and Korea (IEURKRW)
and exchange rate of Korea (EKRWEUR)
Resp. of IEURKRW to
IEURKRW
Resp. of IEURKRW to
EKRWEUR
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EKRWEUR to
IEURKRW
Resp. of EKRWEUR to
EKRWEUR
.01
.01
.00
.00
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential between euro zone and Hong Kong
(IEURHKD) and exchange rate of Hong Kong (EHKDEUR)
Resp. of IEURHKD to
IEURHKD
Resp. of IEURHKD to
EHKDEUR
.10
.10
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EHKDEUR to
IEURHKD
Resp. of EHKDEUR to
EHKDEUR
.008
.008
.004
.004
.000
.000
10
2
111
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential between euro zone and Singapore
(IEURSGD) and exchange rate of Singapore (ESGDEUR)
Resp. of IEURSGD to
IEURSGD
Resp. of ESGDEUR to
IEURSGD
Resp. of IEURSGD to
ESGDEUR
Resp. of ESGDEUR to
ESGDEUR
.05
.05
.005
.005
.00
.00
.000
.000
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential between euro zone and Thailand (IEURTHB)
and exchange rate of Thailand (ETHBEUR)
Resp. of IEURT HB to
IEURT HB
Resp. of IEURT HB to
ET HBEUR
Resp. of ET HBEUR to
IEURT HB
.1
.1
.0
.0
2
4
6
8
2
10
4
6
8
Resp. of ET HBEUR to
ET HBEUR
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential between euro zone and Indonesia (IEURIDR)
and exchange rate of Indonesia (EIDREUR)
Resp. of IEURIDR to
IEURIDR
.1
.1
.0
.0
2
4
6
8
Resp. of EIDREUR to
IEURIDR
Resp. of IEURIDR to
EIDREUR
10
2
4
6
8
Resp. of EIDREUR to
EIDREUR
.01
.01
.00
.00
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential between euro zone and Malaysia (IEURMYR)
and exchange rate of Malaysia (EMYREUR)
Resp. of IEURMYR to
IEURMYR
.04
Resp. of IEURMYR to
EMYREUR
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of EMYREUR to
IEURMYR
Resp. of EMYREUR to
EMYREUR
.008
.008
.004
.004
.000
.000
10
2
112
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential between euro zone and Vietnam (IEURVND)
and exchange rate of Vietnam (EVNDEUR)
Resp. of IEURVND to
IEURVND
Resp. of IEURVND to
EVNDEUR
Resp. of EVNDEUR to
IEURVND
Resp. of EVNDEUR to
EVNDEUR
.2
.2
.008
.008
.1
.1
.004
.004
.0
.0
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential between euro zone and the Philippines
(IEURPHP) and exchange rate of the Philippines (EPHPEUR)
Resp. of IEURPHP to
IEURPHP
Resp. of IEURPHP to
EPHPEUR
Resp. of EPHPEUR to
IEURPHP
Resp. of EPHPEUR to
EPHPEUR
.2
.2
.008
.008
.1
.1
.004
.004
.0
.0
.000
.000
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential between euro zone and China (IEURCNY)
and exchange rate of China (ECNYEUR)
Resp. of IEURCNY to
IEURCNY
.04
Resp. of IEURCNY to
ECNYEUR
Resp. of ECNYEUR to
IEURCNY
.008
.008
.004
.004
.000
.000
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of ECNYEUR to
ECNYEUR
10
2
113
4
6
8
10
2
4
6
8
10
(7). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
to differential between a weighted average of interest rates of US and euro zone
and a weighted average of interest rates in East Asian countries; response of
differential between a weighted average of interest rates of US and euro zone and a
weighted average of interest rates in East Asian countries to exchange rate of
AMU; response of exchange rate of AMU to differential between a weighted average
of interest rates of US and euro zone and a weighted average of interest rates in
East Asian countries; response of exchange rate of AMU to exchange rate of AMU.
Analytical period: January 1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
(IWUSDEURWASIA) and exchange rate of AMU (EUSDEURAMU)
Resp. of IWUSDEURWASIA to
IWUSDEURWASIA
Resp. of IWUSDEURWASIA to
EUSDEURAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
10
114
Resp. of EUSDEURAMU to
EUSDEURAMU
Resp. of EUSDEURAMU to
IWUSDEURWASIA
.002
.002
.000
.000
2
4
6
8
10
2
4
6
8
10
(8). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
to differential between a weighted average of interest rates of US and euro zone
and a weighted average of interest rates in East Asian countries; response of
differential between a weighted average of interest rates of US and euro zone and a
weighted average of interest rates in East Asian countries to a weighted average of
AMU deviation indicator; response of a weighted average of AMU deviation
indicator to differential between a weighted average of interest rates of US and
euro zone and a weighted average of interest rates in East Asian countries;
response of a weighted average of AMU deviation indicator to a weighted average of
AMU deviation indicator. Analytical period: January 1, 2000 to December 15, 2008.
Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
Relationship between differential between a weighted average of interest rates of
US and euro zone and a weighted average of interest rates in East Asian countries
(IWUSDEURWASIA) and a weighted average of AMU deviation indicator
(WAMUDI)
Resp. of IWUSDEURWASIA to
IWUSDEURWASIA
Resp. of IWUSDEURWASIA to
WAMUDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
10
115
Resp. of WAMUDI to
WAMUDI
Resp. of WAMUDI to
IWUSDEURWASIA
.004
.004
.000
.000
2
4
6
8
10
2
4
6
8
10
(9). Each graph shows estimation results of VAR model with four lags in 10 days. From
left to right, response of differential between a weighted average of interest rates of
US and euro zone and interest rates in East Asian countries to differential between
a weighted average of interest rates of US and euro zone and interest rates in East
Asian countries; response of differential between a weighted average of interest
rates of US and euro zone and interest rates in East Asian countries to exchange
rate of AMU in East Asian country; response of exchange rate of AMU in East
Asian country to differential between a weighted average of interest rates of US
and euro zone and interest rates in East Asian countries; response of exchange rate
of AMU in East Asian country to exchange rate of AMU in East Asian country.
Analytical period: January 1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between differential between a weighted average of interest rates of
US and euro zone and interest rates in Japan (IJPYWUSDEUR) and exchange rate
of AMU in Japan (JPYAMU)
Resp. of IJPYWUSDEUR to
IJPYWUSDEUR
.05
.00
2
4
6
8
Resp. of IJPYWUSDEUR to
JPYAM U
Resp. of JPYAMU to
IJPYWUSDEUR
Resp. of JPYAMU to
JPYAMU
.05
.004
.004
.00
.000
.000
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Korea (IKRWWUSDEUR) and exchange rate of
AMU in Korea (KRWAMU)
Resp. of IKRWWUSDEUR to
IKRWWUSDEUR
Resp. of IKRWWUSDEUR to
KRWAM U
.04
.04
.00
.00
Resp. of KRWAMU to
IKRWWUSDEUR
.00
2
4
6
8
10
2
4
6
8
10
.00
2
116
Resp. of KRWAMU to
KRWAMU
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Hong Kong (IHKDWUSDEUR) and exchange rate of
AMU in Hong Kong (HKDAMU)
Resp. of IHKDWUSDEUR to
IHKDWUSDEUR
Resp. of IHKDWUSDEUR to
HKDAM U
.08
.08
.04
.04
.00
.00
Resp. of HKDAMU to
IHKDWUSDEUR
.002
.002
.000
2
4
6
8
10
2
4
6
8
10
Resp. of HKDAMU to
HKDAMU
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Singapore (ISGDWUSDEUR) and exchange rate of
AMU in Singapore (SGDAMU)
Resp. of ISGDWUSDEUR to
ISGDWUSDEUR
Resp. of ISGDWUSDEUR to
SGDAMU
.05
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of SGDAMU to
ISGDWUSDEUR
Resp. of SGDAMU to
SGDAMU
.002
.002
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Thailand (ITHBWUSDEUR) and exchange rate of
AMU in Thailand (THBAMU)
Resp. of IT HBWUSDEUR to
IT HBWUSDEUR
.1
Resp. of IT HBWUSDEUR to
T HBAMU
Resp. of T HBAMU to
IT HBWUSDEUR
Resp. of T HBAMU to
T HBAMU
.1
.0
.0
2
4
6
8
10
2
4
6
8
.004
.004
.000
.000
10
2
117
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Indonesia (IIDRWUSDEUR) and exchange rate of
AMU in Indonesia (IDRAMU)
Resp. of IIDRWUSDEUR to
IIDRWUSDEUR
Resp. of IIDRWUSDEUR to
IDRAM U
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IIDRWUSDEUR
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Malaysia (IMYRWUSDEUR) and exchange rate of
AMU in Malaysia (MYRAMU)
Resp. of IM YRWUSDEUR to
IM YRWUSDEUR
Resp. of IM YRWUSDEUR to
M YRAM U
.05
.05
.00
.00
4
2
6
8
10
2
4
6
8
Resp. of M YRAM U to
IM YRWUSDEUR
Resp. of M YRAM U to
M YRAM U
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Vietnam (IVNDWUSDEUR) and exchange rate of
AMU in Vietnam (VNDAMU)
Resp. of IVNDWUSDEUR to
IVNDWUSDEUR
.2
.2
.1
.1
.0
.0
2
4
6
8
10
Resp. of VNDAMU to
IVNDWUSDEUR
Resp. of IVNDWUSDEUR to
VNDAM U
2
4
6
8
Resp. of VNDAMU to
VNDAMU
.002
.002
.000
.000
2
10
118
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in the Philippines (IPHPWUSDEUR) and exchange
rate of AMU in the Philippines (PHPAMU)
Resp. of IPHPWUSDEUR to
IPHPWUSDEUR
Resp. of IPHPWUSDEUR to
PHPAMU
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of PHPAMU to
IPHPWUSDEUR
Resp. of PHPAMU to
PHPAMU
.005
.005
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in China (ICNYWUSDEUR) and exchange rate of
AMU in China (CNYAMU)
Resp. of ICNYWUSDEUR to
CNYAM U
Resp. of ICNYWUSDEUR to
ICNYWUSDEUR
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYAMU to
ICNYWUSDEUR
Resp. of CNYAMU to
CNYAMU
.002
.002
.000
.000
10
2
119
4
6
8
10
2
4
6
8
10
(10).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of differential between a weighted average of interest
rates of US and euro zone and interest rates in East Asian countries to differential
between a weighted average of interest rates of US and euro zone and interest rates
in East Asian countries; response of differential between a weighted average of
interest rates of US and euro zone and interest rates in East Asian countries to
AMU deviation indicator in East Asian country; response of AMU deviation
indicator in East Asian country to differential between a weighted average of
interest rates of US and euro zone and interest rates in East Asian countries;
response of AMU deviation indicator in East Asian country to AMU deviation
indicator in East Asian country. Analytical period: January 1, 2000 to December 15,
2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between differential between a weighted average of interest rates of
US and euro zone and interest rates in Japan (IJPYWUSDEUR) and AMU
deviation indicator in Japan (JPYDI)
Resp. of IJPYWUSDEUR to
JPYDI
Resp. of IJPYWUSDEUR to
IJPYWUSDEUR
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of JPYDI to
IJPYWUSDEUR
Resp. of JPYDI to
JPYDI
.5
.5
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Korea (IKRWWUSDEUR) and AMU deviation
indicator in Korea (KRWDI)
Resp. of IKRWWUSDEUR to
IKRWWUSDEUR
Resp. of IKRWWUSDEUR to
KRWDI
Resp. of KRWDI to
IKRWWUSDEUR
Resp. of KRWDI to
KRWDI
.08
.08
.8
.8
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
120
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Hong Kong (IHKDWUSDEUR) and AMU deviation
indicator in Hong Kong (HKDDI)
Resp. of IHKDWUSDEUR to
IHKDWUSDEUR
Resp. of IHKDWUSDEUR to
HKDDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDDI to
IHKDWUSDEUR
Resp. of HKDDI to
HKDDI
.2
.2
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Singapore (ISGDWUSDEUR) and AMU deviation
indicator in Singapore (SGDDI)
Resp. of ISGDWUSDEUR to
ISGDWUSDEUR
Resp. of ISGDWUSDEUR to
SGDDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDDI to
ISGDWUSDEUR
Resp. of SGDDI to
SGDDI
.2
.2
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Thailand (ITHBWUSDEUR) and AMU deviation
indicator in Thailand (THBDI)
Resp. of IT HBWUSDEUR to
IT HBWUSDEUR
Resp. of IT HBWUSDEUR to
T HBDI
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of T HBDI to
IT HBWUSDEUR
10
.5
.5
.0
.0
2
121
Resp. of T HBDI to
T HBDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Indonesia (IIDRWUSDEUR) and AMU deviation
indicator in Indonesia (IDRDI)
Resp. of IIDRWUSDEUR to
IIDRWUSDEUR
Resp. of IIDRWUSDEUR to
IDRDI
.1
.1
.0
.0
2
4
6
8
2
10
4
6
8
Resp. of IDRDI to
IIDRWUSDEUR
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Malaysia (IMYRWUSDEUR) and AMU deviation
indicator in Malaysia (MYRDI)
Resp. of IMYRWUSDEUR to
IMYRWUSDEUR
Resp. of IMYRWUSDEUR to
MYRDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRDI to
IMYRWUSDEUR
Resp. of MYRDI to
MYRDI
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in Vietnam (IVNDWUSDEUR) and AMU deviation
indicator in Vietnam (VNDDI)
Resp. of IVNDWUSDEUR to
VNDDI
Resp. of IVNDWUSDEUR to
IVNDWUSDEUR
.2
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
Resp. of VNDDI to
IVNDWUSDEUR
10
.2
.2
.0
.0
2
122
Resp. of VNDDI to
VNDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in the Philippines (IPHPWUSDEUR) and AMU
deviation indicator in the Philippines (PHPDI)
Resp. of IPHPWUSDEUR to
IPHPWUSDEUR
.2
Resp. of IPHPWUSDEUR to
PHPDI
Resp. of PHPDI to
IPHPWUSDEUR
Resp. of PHPDI to
PHPDI
.2
.1
.1
.0
.0
2
4
6
8
10
2
4
6
8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between differential between a weighted average of interest rates of US
and euro zone and interest rates in China (ICNYWUSDEUR) and AMU deviation
indicator in China (CNYDI)
Resp. of ICNYWUSDEUR to
ICNYWUSDEUR
Resp. of ICNYWUSDEUR to
CNYDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
10
Resp. of CNYDI to
ICNYWUSDEUR
.2
.2
.0
.0
2
123
Resp. of CNYDI to
CNYDI
4
6
8
10
2
4
6
8
10
(11).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and Japan to
interest differential between US and Japan; response of interest differential
between US and Japan to exchange rate of AMU in East Asian country; response of
exchange rate of AMU in East Asian country to interest differential between US
and Japan; response of exchange rate of AMU in East Asian country to exchange
rate of AMU in East Asian country. Analytical period: January 1, 2000 to December
15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
KRWAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of KRWAMU to
IUSDJPY
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IUSDJPY to
IUSDJPY
.08
.08
.04
.04
.00
.00
2
4
6
8
Resp. of HKDAMU to
IUSDJPY
Resp. of IUSDJPY to
HKDAMU
10
2
4
6
8
Resp. of HKDAMU to
HKDAMU
.002
.002
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
SGDAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDAMU to
IUSDJPY
Resp. of SGDAMU to
SGDAMU
.002
.002
.000
.000
2
10
124
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
T HBAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of T HBAMU to
IUSDJPY
Resp. of T HBAMU to
T HBAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
IDRAM U
Resp. of IDRAM U to
IUSDJPY
Resp. of IDRAM U to
IDRAM U
.08
.08
.008
.008
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
MYRAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of MYRAMU to
IUSDJPY
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
VNDAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDAMU to
IUSDJPY
Resp. of VNDAMU to
VNDAMU
.002
.002
.000
.000
10
2
125
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
PHPAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of PHPAMU to
IUSDJPY
Resp. of PHPAMU to
PHPAMU
.005
.005
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDJPY) and exchange rate of AMU in
China (CNYAMU)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
CNYAMU
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYAMU to
IUSDJPY
Resp. of CNYAMU to
CNYAMU
.002
.002
.000
.000
10
2
126
4
6
8
10
2
4
6
8
10
(12).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and Japan to
interest differential between US and Japan; response of interest differential
between US and Japan to AMU deviation indicator in East Asian country; response
of AMU deviation indicator in East Asian country to interest differential between
US and Japan; response of AMU deviation indicator in East Asian country to AMU
deviation indicator in East Asian country. Analytical period: January 1, 2000 to
December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator
in Korea (KRWDI)
Resp. of KRWDI to
IUSDJPY
Resp. of IUSDJPY to
KRWDI
Resp. of IUSDJPY to
IUSDJPY
Resp. of KRWDI to
KRWDI
.08
.08
.8
.8
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
HKDDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
Resp. of HKDDI to
IUSDJPY
Resp. of HKDDI to
HKDDI
.2
.2
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
SGDDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDDI to
IUSDJPY
.2
.2
.0
.0
2
10
127
Resp. of SGDDI to
SGDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
T HBDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
Resp. of T HBDI to
IUSDJPY
Resp. of T HBDI to
T HBDI
.5
.5
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
IDRDI
Resp. of IDRDI to
IUSDJPY
Resp. of IDRDI to
IDRDI
.08
.08
.8
.8
.04
.04
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
MYRDI
.08
.08
.04
.04
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of MYRDI to
IUSDJPY
Resp. of MYRDI to
MYRDI
.4
.4
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
VNDDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDDI to
IUSDJPY
.2
.2
.0
.0
2
10
128
Resp. of VNDDI to
VNDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
PHPDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
Resp. of PHPDI to
IUSDJPY
Resp. of PHPDI to
PHPDI
.5
.5
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDJPY) and AMU deviation indicator in
China (CNYDI)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
CNYDI
.08
.08
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYDI to
IUSDJPY
10
.2
.2
.0
.0
2
129
Resp. of CNYDI to
CNYDI
4
6
8
10
2
4
6
8
10
(13).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between euro zone and Japan to
interest differential between euro zone and Japan; response of interest differential
between euro zone and Japan to exchange rate of AMU in East Asian country;
response of exchange rate of AMU in East Asian country to interest differential
between euro zone and Japan; response of exchange rate of AMU in East Asian
country to exchange rate of AMU in East Asian country. Analytical period: January
1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
KRWAMU
Resp. of KRWAMU to
IEURJPY
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IEURJPY to
HKDAMU
Resp. of IEURJPY to
IEURJPY
Resp. of HKDAMU to
IEURJPY
Resp. of HKDAMU to
HKDAMU
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
SGDAMU
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDAMU to
IEURJPY
Resp. of SGDAMU to
SGDAMU
.002
.002
.000
.000
10
2
130
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
T HBAMU
Resp. of T HBAMU to
IEURJPY
Resp. of T HBAMU to
T HBAMU
.04
.04
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
IDRAMU
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRAMU to
IEURJPY
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IEURJPY to
MYRAMU
Resp. of IEURJPY to
IEURJPY
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRAMU to
IEURJPY
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of VNDAMU to
IEURJPY
Resp. of IEURJPY to
VNDAMU
Resp. of VNDAMU to
VNDAMU
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
131
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
PHPAMU
Resp. of PHPAMU to
IEURJPY
.04
.04
.005
.00
.00
.000
2
4
6
8
10
2
4
6
8
10
Resp. of PHPAMU to
PHPAMU
.005
.000
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IEURJPY) and exchange rate of AMU in
China (CNYAMU)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
CNYAMU
Resp. of CNYAMU to
IEURJPY
Resp. of CNYAMU to
CNYAMU
.04
.04
.002
.002
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
132
4
6
8
10
2
4
6
8
10
(14).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between euro zone and Japan to
interest differential between euro zone and Japan; response of interest differential
between euro zone and Japan to AMU deviation indicator in East Asian country;
response of AMU deviation indicator in East Asian country to interest differential
between euro zone and Japan; response of AMU deviation indicator in East Asian
country to AMU deviation indicator in East Asian country. Analytical period:
January 1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IEURJPY) and AMU deviation indicator
in Korea (KRWDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
KRWDI
Resp. of KRWDI to
IEURJPY
Resp. of KRWDI to
KRWDI
.8
.8
.4
.4
.0
.0
.04
.00
.00
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
HKDDI
.04
.04
.00
.00
2
4
6
8
10
Resp. of HKDDI to
IEURJPY
Resp. of HKDDI to
HKDDI
.2
.2
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
SGDDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDDI to
IEURJPY
10
.2
.2
.0
.0
2
133
Resp. of SGDDI to
SGDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
T HBDI
Resp. of T HBDI to
IEURJPY
Resp. of T HBDI to
T HBDI
.04
.04
.5
.5
.00
.00
.0
.0
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IEURJPY to
IEURJPY
.04
Resp. of IEURJPY to
IDRDI
Resp. of IDRDI to
IEURJPY
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IEURJPY to
IEURJPY
.04
.04
.00
.00
2
4
6
8
Resp. of MYRDI to
IEURJPY
Resp. of IEURJPY to
MYRDI
10
2
4
6
8
Resp. of MYRDI to
MYRDI
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
VNDDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDDI to
IEURJPY
10
.2
.2
.0
.0
2
134
Resp. of VNDDI to
VNDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
PHPDI
Resp. of PHPDI to
IEURJPY
Resp. of PHPDI to
PHPDI
.04
.04
.5
.5
.00
.00
.0
.0
2
4
6
8
2
10
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IEURJPY) and AMU deviation indicator in
China (CNYDI)
Resp. of IEURJPY to
IEURJPY
Resp. of IEURJPY to
CNYDI
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYDI to
IEURJPY
10
.2
.2
.0
.0
2
135
Resp. of CNYDI to
CNYDI
4
6
8
10
2
4
6
8
10
(15).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and euro zone to
interest differential between US and euro zone; response of interest differential
between US and euro zone to exchange rate of AMU in East Asian country;
response of exchange rate of AMU in East Asian country to interest differential
between US and euro zone; response of exchange rate of AMU in East Asian
country to exchange rate of AMU in East Asian country. Analytical period: January
1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Japan (JPYAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
JPYAMU
Resp. of JPYAMU to
IUSDEUR
Resp. of JPYAMU to
JPYAMU
.05
.05
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Korea (KRWAMU)
Resp. of IUSDEUR to
KRWAMU
Resp. of IUSDEUR to
IUSDEUR
.04
.04
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of KRWAMU to
IUSDEUR
Resp. of KRWAMU to
KRWAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Hong Kong (HKDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
HKDAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of HKDAMU to
IUSDEUR
Resp. of HKDAMU to
HKDAMU
.002
.002
.000
.000
10
2
136
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Singapore (SGDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
SGDAM U
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of SGDAM U to
IUSDEUR
Resp. of SGDAM U to
SGDAM U
.002
.002
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Thailand (THBAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
T HBAMU
Resp. of T HBAMU to
IUSDEUR
Resp. of T HBAMU to
T HBAMU
.05
.05
.004
.004
.00
.00
.000
.000
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Indonesia (IDRAMU)
Resp. of IUSDEUR to
IDRAMU
Resp. of IUSDEUR to
IUSDEUR
Resp. of IDRAMU to
IUSDEUR
.05
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of IDRAMU to
IDRAMU
.008
.008
.004
.004
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Malaysia (MYRAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
MYRAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRAMU to
IUSDEUR
Resp. of MYRAMU to
MYRAMU
.004
.004
.000
.000
10
2
137
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
Vietnam (VNDAMU)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
VNDAMU
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of VNDAMU to
IUSDEUR
Resp. of VNDAMU to
VNDAMU
.002
.002
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in the
Philippines (PHPAMU)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
PHPAMU
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of PHPAMU to
IUSDEUR
Resp. of PHPAMU to
PHPAMU
.005
.005
.000
.000
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDEUR) and exchange rate of AMU in
China (CNYAMU)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
CNYAMU
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYAMU to
IUSDEUR
Resp. of CNYAMU to
CNYAMU
.002
.002
.000
.000
10
2
138
4
6
8
10
2
4
6
8
10
(16).
Each graph shows estimation results of VAR model with four lags in 10 days.
From left to right, response of interest differential between US and euro zone to
interest differential between US and euro zone; response of interest differential
between US and euro zone to AMU deviation indicator in East Asian country;
response of AMU deviation indicator in East Asian country to interest differential
between US and euro zone; response of AMU deviation indicator in East Asian
country to AMU deviation indicator in East Asian country. Analytical period:
January 1, 2000 to December 15, 2008. Data: Datastream.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator
in Japan (JPYDI)
Resp. of IUSDEUR to
JPYDI
Resp. of IUSDEUR to
IUSDEUR
Resp. of JPYDI to
IUSDEUR
Resp. of JPYDI to
JPYDI
.05
.05
.4
.4
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Korea (KRWDI)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
KRWDI
Resp. of KRWDI to
IUSDEUR
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of KRWDI to
KRWDI
.8
.8
.4
.4
.0
.0
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Hong Kong (HKDDI)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
HKDDI
Resp. of HKDDI to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
10
.2
.2
.0
.0
2
139
Resp. of HKDDI to
HKDDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Singapore (SGDDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
SGDDI
Resp. of SGDDI to
IUSDEUR
Resp. of SGDDI to
SGDDI
.05
.05
.2
.00
.00
2
4
6
8
10
.2
.0
2
4
6
8
10
.0
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Thailand (THBDI)
Resp. of IUSDEUR to
IUSDEUR
.04
Resp. of IUSDEUR to
T HBDI
Resp. of T HBDI to
IUSDEUR
Resp. of T HBDI to
T HBDI
.5
.5
.0
.0
.04
.00
.00
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Indonesia (IDRDI)
Resp. of IUSDEUR to
IUSDEUR
.05
Resp. of IUSDEUR to
IDRDI
Resp. of IDRDI to
IUSDEUR
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of IDRDI to
IDRDI
.8
.8
.4
.4
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Malaysia (MYRDI)
Resp. of IUSDEUR to
MYRDI
Resp. of IUSDEUR to
IUSDEUR
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of MYRDI to
IUSDEUR
10
.4
.4
.0
.0
2
140
Resp. of MYRDI to
MYRDI
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
Vietnam (VNDDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
VNDDI
.05
.05
.00
.00
2
4
6
8
2
10
4
6
8
Resp. of VNDDI to
IUSDEUR
Resp. of VNDDI to
VNDDI
.2
.2
.0
.0
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
the Philippines (PHPDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
PHPDI
Resp. of PHPDI to
IUSDEUR
Resp. of PHPDI to
PHPDI
.05
.05
.5
.5
.00
.00
.0
.0
2
4
6
8
10
2
4
6
8
2
10
4
6
8
10
2
4
6
8
10
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (China)
Relationship between interest differential (IUSDEUR) and AMU deviation indicator in
China (CNYDI)
Resp. of IUSDEUR to
IUSDEUR
Resp. of IUSDEUR to
CNYDI
.05
.05
.00
.00
2
4
6
8
10
2
4
6
8
Resp. of CNYDI to
IUSDEUR
10
.2
.2
.0
.0
2
141
Resp. of CNYDI to
CNYDI
4
6
8
10
2
4
6
8
10
(17).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of interest differential between US and East Asian
country to interest differential between US and East Asian country; response of
interest differential between US and East Asian country to portfolio investment of
East Asian country; response of portfolio investment of East Asian country to
interest differential between US and East Asian country; response of portfolio
investment of East Asian country to portfolio investment of East Asian country.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. for 24 months
(Japan and Korea) and 8 quarters (Hong Kong, Singapore, Thailand, Indonesia,
Malaysia, and the Philippines). Analytical period: January 2000 to the December
2008 for Japan and Korea, Q1:2000 to Q4:2008 for Hong Kong, Singapore, Thailand,
Indonesia, Malaysia, and the Philippines. Data: Datastream, Balance of Payments
Statistics (IMF), Bank of Japan, and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDJPY) and portfolio investment of
Japan (Portfolio)
Resp. of IUSDJPY to
IUSDJPY
Resp. of IUSDJPY to
Portfolio
1
1
0
0
5
5
10 15 20
Resp. of Portfolio to
IUSDJPY
Resp. of Portfolio to
Portfolio
20
20
0
0
5
10 15 20
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDKRW) and portfolio investment of
Korea (Portfolio)
Resp. of IUSDKRW to
IUSDKRW
Resp. of IUSDKRW to
Portfolio
1
1
0
0
5
10 15 20
Resp. of Portfolio to
IUSDKRW
0
5
10 15 20
0
5
142
Resp. of Portfolio to
Portfolio
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDHKD) and portfolio investment of
Hong Kong (Portfolio)
Resp. of IHKDUSD to
IHKDUSD
0
Resp. of IHKDUSD to
Portfolio
Resp. of Portfolio to
IHKDUSD
10
10
0
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDSGD) and portfolio investment of
Singapore (Portfolio)
Resp. of ISGDUSD to
ISGDUSD
Resp. of ISGDUSD to
Portfolio
1
1
0
0
-1
-1
1 2 3 4 5 6 7 8
Resp. of Portfolio to
ISGDUSD
Resp. of Portfolio to
Portfolio
40
40
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDTHB) and portfolio investment of
Thailand (Portfolio)
Resp. of IT HBUSD to
IT HBUSD
Resp. of IT HBUSD to
Portfolio
1
1
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
IT HBUSD
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDIDR) and portfolio investment of
Indonesia (Portfolio)
Resp. of Portfolio to
IIDRUSD
Resp. of IIDRUSD to
Portfolio
Resp. of IIDRUSD to
IIDRUSD
Resp. of Portfolio to
Portfolio
0
0
0
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
143
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDMYR) and portfolio investment of
Malaysia (Portfolio)
Resp. of IMYRUSD to
IMYRUSD
Resp. of IMYRUSD to
Portfolio
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
IMYRUSD
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDPHP) and portfolio investment of the
Philippines (Portfolio)
Resp. of IPHPUSD to
IPHPUSD
Resp. of IPHPUSD to
Portfolio
2
2
0
0
Resp. of Portfolio to
IPHPUSD
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
144
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
(18).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of interest differential between US and East Asian
country to interest differential between US and East Asian country; response of
interest differential between US and East Asian country to other investment of
East Asian country; response of other investment of East Asian country to interest
differential between US and East Asian country; response of other investment of
East Asian country to other investment of East Asian country. Accumulated
Response to Cholesky One S.D. Innovations ± 2 S.E. for 24 months (Japan and
Korea) and 8 quarters (Hong Kong, Singapore, Thailand, Indonesia, Malaysia,
Vietnam and the Philippines). Analytical period: January 2000 to the December
2008 for Japan and Korea, Q1:2000 to Q4:2008 for Hong Kong, Singapore, Thailand,
Indonesia, Malaysia, Vietnam and the Philippines. Data: Datastream, Balance of
Payments Statistics (IMF), Bank of Japan, and Bank of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between interest differential (IUSDJPY) and other investment of
Japan (Others)
Resp. of IUSDJPY to
IUSDJPY
1
1
0
0
5
Resp. of Others to
IUSDJPY
Resp. of IUSDJPY to
Others
0
5
10 15 20
0
5
10 15 20
Resp. of Others to
Others
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between interest differential (IUSDKRW) and other investment of Korea
(Others)
Resp. of IUSDKRW to
Others
Resp. of IUSDKRW to
IUSDKRW
1
1
0
0
5
10 15 20
5
Resp. of Others to
IUSDKRW
Resp. of Others to
Others
20
20
0
0
10 15 20
5
145
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between interest differential (IUSDHKD) and other investment of Hong
Kong (Others)
Resp. of IHKDUSD to
IHKDUSD
0
Resp. of IHKDUSD to
Others
Resp. of Others to
IHKDUSD
10
10
0
0
0
-10
1 2 3 4 5 6 7 8
Resp. of Others to
Others
1 2 3 4 5 6 7 8
-10
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between interest differential (IUSDSGD) and other investment of
Singapore (Others)
Resp. of ISGDUSD to
ISGDUSD
1
Resp. of ISGDUSD to
Others
Resp. of Others to
ISGDUSD
Resp. of Others to
Others
1
0
4
4
0
0
0
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between interest differential (IUSDTHB) and other investment of
Thailand (Others)
Resp. of IT HBUSD to
Others
Resp. of IT HBUSD to
IT HBUSD
Resp. of Others to
IT HBUSD
Resp. of Others to
Others
1
1
10
10
0
0
0
0
-1
-1
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between interest differential (IUSDIDR) and other investment of
Indonesia (Others)
Resp. of IIDRUSD to
IIDRUSD
Resp. of IIDRUSD to
Others
5
5
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
IIDRUSD
0
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
146
Resp. of Others to
Others
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between interest differential (IUSDMYR) and other investment of
Malaysia (Others)
Resp. of IMYRUSD to
IMYRUSD
0
Resp. of IMYRUSD to
Others
Resp. of Others to
IMYRUSD
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between interest differential (IUSDVND) and other investment of
Vietnam (Others)
Resp. of IVNDUSD to
IVNDUSD
0
Resp. of Others to
IVNDUSD
Resp. of IVNDUSD to
Others
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between interest differential (IUSDPHP) and other investment of the
Philippines (Others)
Resp. of IPHPUSD to
IPHPUSD
Resp. of IPHPUSD to
Others
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
IPHPUSD
Resp. of Others to
Others
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
147
1 2 3 4 5 6 7 8
(19).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of expected return differential between US and East
Asian country to expected return differential between US and East Asian country;
response of expected return differential between US and East Asian country to
portfolio investment of East Asian country; response of portfolio investment of East
Asian country to expected return differential between US and East Asian country;
response of portfolio investment of East Asian country to portfolio investment of
East Asian country. Accumulated Response to Cholesky One S.D. Innovations ± 2
S.E. for 24 months (Japan and Korea) and 8 quarters (Hong Kong, Singapore,
Thailand, Indonesia, Malaysia, and the Philippines). Analytical period: January
2000 to the December 2008 for Japan and Korea, Q1:2000 to Q4:2008 for Hong
Kong, Singapore, Thailand, Indonesia, Malaysia, and the Philippines. Data:
Datastream, Balance of Payments Statistics (IMF), Bank of Japan, and Bank of
Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between expected return differential between US and Japan (Return)
and portfolio investment of Japan (Portfolio)
Resp. of Return to
Return
1
1
0
0
5
Resp. of Portfolio to
Return
Resp. of Return to
Portfolio
10 15 20
5
Resp. of Portfolio to
Portfolio
20
20
0
0
5
10 15 20
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between expected return differential between US and Korea (Return) and
portfolio investment of Korea (Portfolio)
Resp. of Return to
Return
Resp. of Return to
Portfolio
1
1
0
0
5
10 15 20
Resp. of Portfolio to
Return
0
5
0
5
10 15 20
148
Resp. of Portfolio to
Portfolio
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between expected return differential between US and Hong Kong (Return)
and portfolio investment of Hong Kong (Portfolio)
Resp. of Return to
Return
0
Resp. of Return to
Portfolio
Resp. of Portfolio to
Return
10
10
0
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between expected return differential between US and Singapore (Return)
and portfolio investment of Singapore (Portfolio)
Resp. of Return to
Return
Resp. of Portfolio to
Return
Resp. of Return to
Portfolio
1
1
0
0
-1
-1
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
40
40
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between expected return differential between US and Thailand (Return)
and portfolio investment of Thailand (Portfolio)
Resp. of Return to
Return
Resp. of Return to
Portfolio
1
1
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Return
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between expected return differential between US and Indonesia (Return)
and portfolio investment of Indonesia (Portfolio)
Resp. of Return to
Return
0
Resp. of Return to
Portfolio
Resp. of Portfolio to
Return
0
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
149
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between expected return differential between US and Malaysia (Return)
and portfolio investment of Malaysia (Portfolio)
Resp. of Return to
Portfolio
Resp. of Return to
Return
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Return
0
1 2 3 4 5 6 7 8
Resp. of Portfolio to
Portfolio
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between expected return differential between US and the Philippines
(Return) and portfolio investment of the Philippines (Portfolio)
Resp. of Return to
Portfolio
Resp. of Return to
Return
2
2
0
0
Resp. of Portfolio to
Return
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
150
Resp. of Portfolio to
Portfolio
1 2 3 4 5 6 7 8
(20).
Each graph shows estimation results of VAR model with four lags in two years.
From left to right, response of expected return differential between US and East
Asian country to expected return differential between US and East Asian country;
response of expected return differential between US and East Asian country to
other investment of East Asian country; response of other investment of East Asian
country to expected return differential between US and East Asian country;
response of other investment of East Asian country to other investment of East
Asian country. Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E.
for 24 months (Japan and Korea) and 8 quarters (Hong Kong, Singapore, Thailand,
Indonesia, Malaysia, Vietnam and the Philippines). Analytical period: January
2000 to the December 2008 for Japan and Korea, Q1:2000 to Q4:2008 for Hong
Kong, Singapore, Thailand, Indonesia, Malaysia, Vietnam and the Philippines.
Data: Datastream, Balance of Payments Statistics (IMF), Bank of Japan, and Bank
of Korea.
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Japan)
Relationship between expected return differential between US and Japan (Return)
and other investment of Japan (Others)
Resp. of Return to
Return
1
1
0
0
5
Resp. of Others to
Return
Resp. of Return to
Others
10 15 20
0
5
10 15 20
Resp. of Others to
Others
0
5
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Korea)
Relationship between expected return differential between US and Korea (Return) and
other investment of Korea (Others)
Resp. of Return to
Return
1
Resp. of Return to
Others
1
0
Resp. of Others to
Return
20
20
0
0
0
5
10 15 20
5
Resp. of Others to
Others
5
10 15 20
151
10 15 20
5
10 15 20
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Hong Kong)
Relationship between expected return differential between US and Hong Kong (Return)
and other investment of Hong Kong (Others)
Resp. of Return to
Return
0
Resp. of Others to
Return
Resp. of Return to
Others
10
10
0
0
0
-10
1 2 3 4 5 6 7 8
Resp. of Others to
Others
-10
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Singapore)
Relationship between expected return differential between US and Singapore (Return)
and other investment of Singapore (Others)
Resp. of Return to
Return
Resp. of Return to
Others
1
1
0
0
Resp. of Others to
Return
4
4
0
0
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
-4
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Thailand)
Relationship between expected return differential between US and Thailand (Return)
and other investment of Thailand (Others)
Resp. of Return to
Return
Resp. of Return to
Others
1
1
0
0
-1
Resp. of Others to
Return
Resp. of Others to
Others
10
10
0
0
-1
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Indonesia)
Relationship between expected return differential between US and Indonesia (Return)
and other investment of Indonesia (Others)
Resp. of Return to
Return
Resp. of Return to
Others
5
5
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
Return
0
1 2 3 4 5 6 7 8
0
1 2 3 4 5 6 7 8
152
Resp. of Others to
Others
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Malaysia)
Relationship between expected return differential between US and Malaysia (Return)
and other investment of Malaysia (Others)
Resp. of Return to
Return
0
Resp. of Return to
Others
Resp. of Others to
Return
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (Vietnam)
Relationship between expected return differential between US and Vietnam (Return)
and other investment of Vietnam (Others)
Resp. of Return to
Return
0
Resp. of Return to
Others
Resp. of Others to
Return
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
Others
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
Accumulated Response to Cholesky One S.D. Innovations ± 2 S.E. (the Philippines)
Relationship between expected return differential between US and the Philippines
(Return) and other investment of the Philippines (Others)
Resp. of Return to
Return
Resp. of Return to
Others
2
2
0
0
1 2 3 4 5 6 7 8
Resp. of Others to
Return
Resp. of Others to
Others
20
20
0
0
1 2 3 4 5 6 7 8
1 2 3 4 5 6 7 8
153
1 2 3 4 5 6 7 8