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

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  • Colavecchio , Roberta

    ()
    (BOFIT)

  • Funke, Michael

    (BOFIT)

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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File URL: http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/dp1707.pdf
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Bibliographic Info

Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 17/2007.

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Length: 43 pages
Date of creation: 29 Aug 2007
Date of revision:
Handle: RePEc:hhs:bofitp:2007_017

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Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
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Web page: http://www.suomenpankki.fi/bofit_en/
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Related research

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

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References

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Citations

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Cited by:
  1. Pontines, Victor & Siregar, Reza Y., 2012. "Fear of appreciation in East and Southeast Asia: The role of the Chinese renminbi," Journal of Asian Economics, Elsevier, vol. 23(4), pages 324-334.
  2. Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung, 2008. "Market Expectation of Appreciation of the Renminbi," Working Papers 0803, Hong Kong Monetary Authority.
  3. Siregar, Reza & Miyaki, Keita, 2013. "Regional Financial Arrangement: An Impetus for Regional Policy Cooperation," MPRA Paper 51050, University Library of Munich, Germany.

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