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Volatility Spillover Of Intraday Exchange Rates On Some Selected Asean Countries

Author

Listed:
  • Neluka Devpura

    (University of Sri Jayewardenepura,)

  • Iman Gunadi

    (Bank Indonesia)

  • Aryo Sasongko

    (Bank Indonesia)

Abstract

In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.

Suggested Citation

  • Neluka Devpura & Iman Gunadi & Aryo Sasongko, 2021. "Volatility Spillover Of Intraday Exchange Rates On Some Selected Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(3), pages 335-364, September.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:3b:p:335-364
    DOI: https://doi.org/10.21098/bemp.v24i3.1693
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    Citations

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    Cited by:

    1. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    2. DerviÅŸ Kirikkaleli & Mustafa Tevfik Kartal & Tomiwa Sunday Adebayo, 2022. "Time And Frequency Dependency Of Foreign Exchange Rates And Country Risk:Evidence From Turkey," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(1), pages 37-54, June.
    3. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.

    More about this item

    Keywords

    ASEAN; Exchange rate; Volatility; Shocks.;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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