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Dynamic Volatility Spillovers Between Currencies Of Asean Member Countries And China: Evidence From Tvp-Var Approach

Author

Listed:
  • MIN LIU

    (School of Economics and Management, Nanchang University, Nanchang 330031, P. R. China)

  • HONG-FEI LIU

    (School of Economics and Management, Nanchang University, Nanchang 330031, P. R. China)

  • SHUAI LIU

    (National Academy of Economic Strategy, Chinese Academy of Social Sciences, Beijing 100006, P. R. China)

Abstract

Driven by the importance of analyzing interregional volatility spillover effects, this study investigates dynamic volatility spillovers between the currencies of China– ASEAN Free Trade Area (FTA) member countries by applying the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach to a sample spanning January 1, 2006, to October 31, 2022. The results show that (1) dynamic volatility connectedness varies over time and reaches peaks due to economic events, such as the 2008 global financial crisis (GFC) and the COVID-19 pandemic; (2) the Chinese yuan (CNY) market assumes more of a net receiving role for volatility spillovers after the 811 exchange rate reform, while the Singapore dollar (SGD) market assumes more of a net transmitting role for volatility spillovers in the whole sample period and (3) negative spillovers are dominant during the study period, except during the European debt crisis. Our findings can help China and ASEAN establish an exchange rate coordination mechanism to prevent the cross-country transmission of exchange rate risk.

Suggested Citation

  • Min Liu & Hong-Fei Liu & Shuai Liu, 2025. "Dynamic Volatility Spillovers Between Currencies Of Asean Member Countries And China: Evidence From Tvp-Var Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 70(02), pages 487-511, March.
    • Handle: RePEc:wsi:serxxx:v:70:y:2025:i:02:n:s021759082450036x
    DOI: 10.1142/S021759082450036X
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