Title: Perspective of an exchange rate policy for global financial systems: evidence between China and ASEAN countries
Authors: Chukiat Chaiboonsri; Satawat Wannapan; Nisit Pantamit
Addresses: Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand ' Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand ' Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand
Abstract: Currency rate fluctuations are essential drivers of international trade in mainland China and South East Asia, with the Chinese currency influencing deeply the economies of ASEAN countries. By employing copulas models, this paper investigates empirical currencies' structural dependences. The relationships between RMB Chinese Yuan and ASEAN currencies are thus computationally analysed. Our approach structurally classifies the flows and impulse responses activated by currency appreciation and depreciation. Additionally, agent-based simulations are carried out to depict systematically economic scenarios under currency fluctuation, thus providing suitable alerts for decision-makers when dangerous outlooks concerning trade dynamics in Indochina take place.
Keywords: exchange rates; macroeconomics; economic extreme cases; copulas; agent-based analysis; Monte Carlo simulation; China; ASEAN.
International Journal of Computational Economics and Econometrics, 2022 Vol.12 No.1/2, pp.29 - 51
Received: 08 May 2020
Accepted: 28 Jan 2021
Published online: 18 Jan 2022 *