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 Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 17/2007.
Length: 43 pages
Date of creation: 29 Aug 2007
Date of revision:
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China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models;
Other versions of this item:
- 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.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
- NEP-CBA-2007-09-02 (Central Banking)
- NEP-FMK-2007-09-02 (Financial Markets)
- NEP-IFN-2007-09-02 (International Finance)
- NEP-RMG-2007-09-02 (Risk Management)
- NEP-SEA-2007-09-02 (South East Asia)
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