Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
AbstractThis 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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Bibliographic InfoPaper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20708.
Date of creation: Aug 2007
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China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models;
Other versions of this item:
- Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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