Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets
Hamburg University, Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)
February 27, 2009
HKIMR Working Paper No.11/2009
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, F36working papers series
Date posted: March 18, 2009
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.218 seconds