Abstract

http://ssrn.com/abstract=1362346
 
 

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Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets


Roberta Colavecchio


Universitaet Hamburg

Michael Funke


Hamburg University, Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

February 27, 2009

HKIMR Working Paper No.11/2009

Abstract:     
This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

Number of Pages in PDF File: 38

Keywords: China, Renminbi, Asia, Forward Exchange Rates, Non-Deliverable Forward Market, SWARCH Models

JEL Classification: C22, F31, F36

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Date posted: March 18, 2009  

Suggested Citation

Colavecchio, Roberta and Funke, Michael, Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets (February 27, 2009). HKIMR Working Paper No.11/2009. Available at SSRN: http://ssrn.com/abstract=1362346 or http://dx.doi.org/10.2139/ssrn.1362346

Contact Information

Roberta Colavecchio
Universitaet Hamburg ( email )
Welckerstr. 8
Hamburg, 20354
Germany
Michael Funke (Contact Author)
Hamburg University, Department of Economics ( email )
Von-Melle-Park 5
Hamburg, 20146
Germany
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
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