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英文文献：Reassessing the Link between the Japanese Yen and Emerging Asian Currencies-重新评估日元与亚洲新兴货币之间的联系
英文文献作者：Bong-Han Kim,Hyeongwoo Kim,Hong-Ghi Min
英文文献摘要：
We reassess the degree of exchange rate co-movement between the Japanese yen and 5 emerging Asian currencies relative to the US dollar in the 2000s. It is often claimed that these currencies have been closely tied with the Japanese yen possibly due to active interactions of Japan and emerging Asian economies. We question the validity of such claims, reporting substantially lower, even negative, dynamic conditional correlations between these currencies and the yen-dollar exchange rate in the second half of the 2000s. Our novel multivariate GARCH framework identifies the liquidity deterioration, measured by the TED spread, and the elevated risk aversion, measured by the sovereign CDS premium, in international capital markets as the two major driving forces of such decoupling phenomena.
我们重新评估了21世纪头十年日元和5种亚洲新兴货币相对于美元汇率联动的程度。人们常说，这些货币与日元密切相关，可能是由于日本与亚洲新兴经济体的积极互动。我们对这种说法的有效性提出了质疑，报告称，在本世纪头十年的后半段，这些货币与日元兑美元汇率之间的动态条件相关性大幅下降，甚至出现了负值。我们的新多元GARCH框架确定，国际资本市场中的流动性恶化(TED spread衡量)和风险厌恶加剧(主权CDS溢价衡量)是这种脱钩现象的两大主要驱动力。
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