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Domestic and Foreign Currency - Specific Shocks in Asian Foreign Exchange Markets

Author

Listed:
  • Keun-Yeong Lee

    (Sungkyunkwan University)

Abstract

This paper investigates joint dynamics in three Asian emerging foreign exchange markets. The empirical results indicate that domestic and foreign currency-specific shocks have a significant impact on exchange rate changes and their volatility in the region. It also suggests that exchange rate changes and their volatility in these Asian countries respond asymmetrically to positive and negative residuals. But these effects on exchange rate changes become weaker after the Asian currency crises of 1997 came to an end.

Suggested Citation

  • Keun-Yeong Lee, 2002. "Domestic and Foreign Currency - Specific Shocks in Asian Foreign Exchange Markets," Korean Economic Review, Korean Economic Association, vol. 18, pages 43-67.
    • Handle: RePEc:kea:keappr:ker-200206-18-1-03
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    File URL: http://keapaper.kea.ne.kr/RePEc/kea/keappr/KER-200206-18-1-03.pdf
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    More about this item

    Keywords

    Currency-specific shocks; VAR; EGARCH; impulse response;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance

    Statistics

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