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1、DYNAMICANDASYMMETRICDEPENDENCESBETWEENCHINESEYUANANDOTHERASIA‐PACIFICCURRENCIESDONALDLIENCHONGFENGWULIYANG*CHUNYANGZHOUThispaperexaminesthedynamicdependencestructurebetweenChineseYuanandeachoffiveothercurrenciesintheAsia‐Pacificregiononnon‐deliverableforwardcontractsovertheperiodofJul
2、y4,2006throughoutAugust31,2011.UsingthedatethatLehmanBrothersfiledforbankruptcyasthestartingdateoffinancialcrisis,wefindthat,beforethecrisis,thedependencesbetweenChineseYuanandfouroutoffiveotherAsianpacificcurrenciesunderconsiderationaremuchstrongerwhenChineseYuanagainsttheU.S.dollardepr
3、eciatesthanwhenitappreciates.Duringthecrisis,theasymmetrictaildependencesstillprevailwiththeWuandZhouwouldliketoacknowledgeNSFCfundingsupport(no.70831004andno.71001071),andYangisgratefulforfinanicalsupportfromAustralianSchoolofBusinessatUniversityofNewSouthWalesandAustralianResearchC
4、ouncilLinkagegrant(LP0882468).*Correspondenceauthor,SchoolofBanking&Finance,UniversityofNewSouthWales,Kensington,NSW2052,Australia.Tel:þ61‐2‐9385‐7936,Fax:þ61‐2‐9385‐6347,e‐mail:l.yang@unsw.edu.auReceivedJanuary2013;AcceptedJanuary2013nDonaldLienisattheCollegeofBusinessatUniversityo
5、fTexasatSanAntonio,SanAntonio,Texas.nChongfengWuandChunyangZhouarecollocatedattheAntaiCollegeofEconomics&ManagementatShanghaiJiaotongUniversity,Shanghai.nLiYangisattheSchoolofBanking&Finance,UniversityofNewSouthWales,Kensington,NSW,Australia.TheJournalofFuturesMarkets,Vol.33,No.8,69
6、6–723(2013)©2013WileyPeriodicals,Inc.Publishedonline4March2013inWileyOnlineLibrary(wileyonlinelibrary.com).DOI:10.1002/fut.21609ChineseYuanandOtherAsia‐PacificCurrencies697magnitudeofbothupperandlowertaildependencesaswellascorrelationincreasingsubstantially.Thedynamicandasymmetricde
7、pendencestructuredocumentedinthisstudyhasimportantimplicationsfortheinvestorsintheregion.©2013WileyPeriodicals,Inc.JrlFutMark1.INTRODUCTIONTheevolutionoftheChineseYuanexchangerateanditsimpactsontheAsia‐Pacificregionhasattractedanincreasingattentionamongtheacademiccommunityandpolitici
8、ansalike.Rapidlygro
