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Interest-Rate Volatility in Emerging Markets

Author

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  • Sebastian Edwards

    (UCLA and NBER)

  • Raul Susmel

    (University of Houston)

Abstract

We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that high-volatility episodes are, in general, short-lived, lasting from 2 to 7 weeks. We also find some evidence of interest-rate volatility comovements across countries. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • Sebastian Edwards & Raul Susmel, 2003. "Interest-Rate Volatility in Emerging Markets," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 328-348, May.
    • Handle: RePEc:tpr:restat:v:85:y:2003:i:2:p:328-348
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