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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets

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Author Info
Roberta Colavecchio ()
Michael Funke ()

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Abstract

This paper estimates switching autoregressive conditional heteroscedasticity (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 U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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Publisher Info
Paper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20708.

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Date of creation: Aug 2007
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Handle: RePEc:ham:qmwops:20708

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Related research
Keywords: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

References listed on IDEAS
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung, 2008. "Market Expectation of Appreciation of the Renminbi," Working Papers 0803, Hong Kong Monetary Authority. [Downloadable!]
  2. Roberta Colavecchio & Michael Funke, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," Quantitative Macroeconomics Working Papers 20708, Hamburg University, Department of Economics. [Downloadable!]
    Other versions:
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