2015 年 3 巻 1 号 p. 30-59
This paper investigates the stationarity of East Asian currencies (ASEAN 6) by using a unit root test and cointegration test. We examine whether the Asian monetary unit (AMU) deviation indicators adjusted by the Balassa–Samuelson effect of ASEAN 6 are stationary over the short term by carrying out a unit root test. We also assess whether cointegration relationships exist over the long term by carrying out a cointegration test. Based on an empirical analysis of 57 combinations, we cannot find any combinations show a significant result. Based on our results, it is clear that exchange rate fluctuations among the East Asian currencies respond to each other asymmetrically and that the issue of exchange rate misalignment needs to be dealt with immediately.
