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Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets

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Author Info
Colavecchio, Roberta
Funke, Michael

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Abstract

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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Publisher Info
Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 20 (2009)
Issue (Month): 2 (March)
Pages: 174-196
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Handle: RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196

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Related research
Keywords: China Non-deliverable forward market SWARCH models;

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  5. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, MIT Press, vol. 119(1), pages 1-48, February. [Downloadable!] (restricted)
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  7. Fung, Hung-Gay & LEUNG, Wai K. & Zhu, Jiang, 2004. "Nondeliverable forward market for Chinese RMB: A first look," China Economic Review, Elsevier, vol. 15(3), pages 348-352. [Downloadable!] (restricted)
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  18. Edoardo Otranto & Giampiero M. Gallo, 2001. "A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models," Econometrics Working Papers Archive wp2001_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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  19. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January. [Downloadable!]
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