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The Asia Financial Crises and Exchange Rates

Author

Listed:
  • 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.

Suggested Citation

  • Oga, Takashi & Polasek, Wolfgang, 2010. "The Asia Financial Crises and Exchange Rates," Economics Series 254, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:254
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    File URL: https://irihs.ihs.ac.at/id/eprint/2013
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    Cited by:

    1. Sayo Ayodeji, 2015. "Modeling Asymmetric Effect in African Currency Markets: Evidence from Kenya," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 4(3), pages 1-2.

    More about this item

    Keywords

    Markov switching GARCH models; Asian currency crisis 1997; volatility breaks; Bayesian MCMC; model choice;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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