No description available.

Since the Euro has founded in 1999, the Asian Currency has become an important issue. The most important prerequisite for adopting common currency for the countries in the area is the synchronization of business cycle. This paper analyses the degree and responses of business cycles for Asian countries when they face to the common shocks. The empirical findings from this paper can be summarized as follows. First, the shocks of Japanese economy are more important to Asian countries than the shocks from the United States, except for Thailand and Indonesia. Second, Malaysia and the Philippine are substantially influenced by the Thailand. Therefore, the Asian economy is evidently forming its regional (or bloc) economy continually. The findings from this paper are in the same line with the result from Hazel (2001), who concludes the business cycles of Japan and Korea are commoved. The degree of synchronization of business cycles for Thailand, Malaysia, and the Philippine are quite high as well.

歐元成功的發行流通，以及歐盟貨幣暨經濟同盟的合作關係，帶動歐元區亮麗的經濟成長。亞洲在經歷1997年金融風暴後，各界倡議亞洲應加速進行貨幣合作，以減少匯率波動對經濟帶來的衝擊。 亞洲可參考歐元前身－歐洲通貨單位(European Currency Unit, ECU)的經驗來編製亞元。但問題在於，相對於歐盟國家，亞洲國家經濟發展與政治背景差異大。本文主要探討，何種總體條件納入亞元權數的計算，可避免亞元產生不必要的波動，並嘗試納入外匯政策有關變數，以反映亞洲國家間的歧異。另外，亦希望從試編亞元，模擬台灣加入亞元的可能影響。 研究結果發現：1.亞元權重，採GDP ppp計算權值，使ACU波動最小。隱含，對亞洲來說，當經濟發展越相近，有助穩定ACU。2.採出口值、進口值或總貿易值作權重，對ACU之影響，差異不大。3.增加調整基期，ACU較為穩定。4.台灣加入ACU後波動度明顯變小，而僅有東協加三組成之ACU波動程度最大。5.加入資本管制變數後，ACU的波動度均下降。

No description available.

90年代末東亞金融危機造成多國貨幣大幅貶值，銀行紛紛倒閉。基本上金融危機可分為通貨危機(Currency Crisis)與銀行危機(Banking Crisis)；通貨危機是指當年中任一季名目匯率貶值超過25%，且貶值幅度比前一季超過10個百分點。諸多實證文獻顯示，高估一國匯率為其通貨崩潰之先驅；又由於近年來新興國家快速開放資本市場，以致於成為危機之導火線。為分析此一現象，本文首先編製金融帳權數之新台幣實質有效匯率指數，並將東亞之台灣、印尼、韓國、菲律賓、泰國等五國之匯率、相對物價（各國與美國物價）、金融帳餘額等變數做共整合關係檢定，觀察三個變數的長期均衡關係，再將誤差項加入模型中，建構向量誤差模型。實證結果發現，金融帳與相對物價對匯率有顯著之影響力。 / The 1997 East Asian Crises had made exchange rate depreciations and bank bankruptcies. Broadly speaking, it can be divided into currency crisis and banking crisis. Nominal exchange rate of any season in a year, which is depreciated over 25% and 10% than last season, is called a currency crisis. Lots of papers demonstrate that overvaluation is a precursor of a currency crash. Furthermore, developing countries have opened capital markets so rapidly that it became the tinderbox of crises. To analyze the phenomenon, this thesis first compile Taiwan’s financial weighted real effective exchange rate index, then examine exchange rates, relative prices (compare to American consumer price index), and net financial account of Taiwan, Indonesia, Korea, Philippine, and Thailand with cointegrated test to identify the long run equilibrium relationships between variables; then adding error terms into models to estimates vector error correction model (VECM). The empirical results show that financial account and relative price influence exchange rate significantly.

Dans cette thèse, nous proposons quatre contributions originales à l'étude de l'intégration monétaire et financière des pays asiatiques.Dans le premier chapitre nous déterminons la sensibilité relative des devises asiatiques (ASEAN-5, Corée du Sud) face aux chocs simulés sur le dollar, l'euro et l'ACU. Nous mettons en évidence la volonté de ces pays de se détourner d'une politique de change exclusivement centrée sur le dollar vers une politique plus flexible, où le poids de l'ACU semble avoir gagné en importance.Le deuxième chapitre met l'accent sur la synchronisation entre les cycles des affaires de l'ASEAN-5. Nous montrons que la corrélation entre les cycles est plus forte durant les phases de contraction mais que la dynamique d'ajustement est propre à chaque pays. Par ailleurs, certains cycles des affaires de l'ASEAN-5 contiennent des informations pertinentes pour prédire les changements de régime des autres pays.Le troisième chapitre examine le co-mouvement entre les taux de change réels de l'ASEAN-5 du point de vue de la parité de pouvoir d'achat généralisé (Enders and Hurns, 1994, 1997). Nous montrons que les taux de change réels sont liés par un processus à mémoire longue, ce qui soutient l'idée d'une intégration monétaire plus poussée entre différents sous-groupes de pays. Enfin dans le dernier chapitre, nous examinons le degré d'intégration des marchés boursiers en Asie (ASEAN-5, Hong Kong, Japon). Nos résultats montrent que la volatilité des marchés boursiers internationaux partagent une tendance stochastique commune. En revanche, les marchés boursiers des pays émergents apparaissent encore segmentés tant au niveau global que régional. / This thesis proposes four contributions to the study of Asian monetary and financial integration.The first chapter examines to what extent the East Asian exchange rates (ASEAN-5, South Korea) are sensitive to shocks simulated on the US dollar, the euro and the ACU. We show that these countries have moved from a US dollar-based pegging system to a more flexible exchange rate policy, where the weight of the ACU has increased over the last years. The second chapter attempts to analyze the correlation among the ASEAN-5 business cycles. Estimates reveal that correlations are higher during downturns but the process of adjustment to shocks displays idiosyncratic features. We also provide evidence that the signals contained in some leading ASEAN-5 business cycles help predict regime switching in other countries. The third chapter examines the co-movement among the ASEAN-5 real exchange rates through the generalized purchasing power parity (Enders and Hurns, 1994, 1997). We find that real exchange rates are tied through a long memory process, supporting further monetary integration among different sub-groups of the ASEAN-5.In the last chapter, we investigate to what extent the stock markets in Asia (Hong Kong, Japan, ASEAN-5) are integrated. Our results reveal that the stock market volatilities in developed countries share a common stochastic trend. Conversely, emerging markets appear to be segmented from both each other and global markets.