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Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets

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Author Info

  • Roberta Colavecchio

    (Hamburg University)

  • Michael Funke

    (Hamburg University)

Abstract

This paper estimates switching autoregressive conditional heteroskedasticity (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 currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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Bibliographic Info

Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 112009.

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Length: 38 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:hkm:wpaper:112009

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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. Robert Kappel, 2010. "On the Economics of Regional Powers: Comparing China, India, Brazil, and South Africa," GIGA Working Paper Series 145, GIGA German Institute of Global and Area Studies.
  2. Thuraisamy, Kannan S. & Sharma, Susan Sunila & Ali Ahmed, Huson Joher, 2013. "The relationship between Asian equity and commodity futures markets," Journal of Asian Economics, Elsevier, vol. 28(C), pages 67-75.
  3. Robert Kappel, 2010. "Verschiebung der globalen Machtverhältnisse durch den Aufstieg von Regionalen Führungsmächten: China, Indien, Brasilien und Südafrika," GIGA Working Paper Series 146, GIGA German Institute of Global and Area Studies.
  4. Balasubramaniam, Vimal & Patnaik, Ila & Shah, Ajay, 2011. "Who cares about the Chinese Yuan?," Working Papers 11/89, National Institute of Public Finance and Policy.

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