Using a systemic approach, this study investigates the time-varying linkages among currency markets of Japan, the People's Republic of China, the Republic of Korea, and the five core ASEAN economies to understand financial integration in Asia. We first construct a vector autoregressive model and use the Diebold and Yilmaz (2014) approach to quantitatively identify the connectedness within the system, accompanied by a rolling-window approach to allow for time-varying dynamics and pairwise Granger causality tests to check the robustness of our main results. We find that though systemic interconnectedness varies over time, the Singapore dollar is constantly a top net contributor, explaining most of the variation in East Asian currency markets.

中文翻译：

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亚洲金融一体化：货币市场的系统观点

本研究采用系统方法，调查了日本、中华人民共和国、大韩民国和五个核心东盟经济体的货币市场之间随时间变化的联系，以了解亚洲的金融一体化。我们首先构建了一个向量自回归模型，并使用 Diebold 和 Yilmaz (2014) 方法来定量识别系统内的连通性，伴随着滚动窗口方法以允许时变动态和成对格兰杰因果检验来检查系统的稳健性我们的主要结果。我们发现，尽管系统性相互关联性随时间变化，但新加坡元始终是最大的净贡献者，这解释了东亚货币市场的大部分变化。