BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 16/2006:
Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Roberta Colavecchio ()
and Michael Funke
Abstract: This paper uses multivariate GARCH techniques to study
volatility spillovers between the Chinese non-deliverable forward market
and seven of its Asia-Pacific counterparts over the period January 1998 to
March 2005. To account for the time-variability of conditional correlation,
a dynamic correlation structure is included in the volatility model
specification. The empirical results demonstrate that the renminbi
non-deliverable forward (NDF) has been a driver of various Asian currency
markets but that such co-movements exhibit a substantial degree of
heterogeneity. As to the determinants of the magnitude of these
co-movements, we test the relevance of potential factors and find that it
is the degree of real and financial integration, in particular, that exerts
the largest influence on volatility transmission.
Keywords: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; multivariate GARCH models; (follow links to similar papers)
JEL-Codes: C22; F31; F36; (follow links to similar papers)
34 pages, October 26, 2006
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
dp1606.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Päivi Määttä ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
