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The Asia Financial Crises and Exchange Rates

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  • Oga, Takashi

    (Chiba University, Chiba, Japan)

  • Polasek, Wolfgang

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)

Abstract

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility dynamics has changed at least once.

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File URL: http://www.ihs.ac.at/publications/eco/es-254.pdf
File Function: First version, 2010
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Bibliographic Info

Paper provided by Institute for Advanced Studies in its series Economics Series with number 254.

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Length: 8 pages
Date of creation: Sep 2010
Date of revision:
Handle: RePEc:ihs:ihsesp:254

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Related research

Keywords: Markov switching GARCH models; Asian currency crisis 1997; volatility breaks; Bayesian MCMC; model choice;

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