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Volatility and Causality in Asia Pacific Financial Markets

  • Enzo Weber

The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, monetary policy behaviour or equity market reagibility. Additionally, a correlation analysis of the identified innovations reveals the degree of coherence in the Asian Pacific region.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-004.pdf
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-004.

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Length: 33 pages
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2007-004
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