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Institute for Economies in Transition, Bank of Finland BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland

No 17/2007:
Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets

Roberta Colavecchio () and Michael Funke

Abstract: This paper estimates switching autoregressive conditional heteroscedasticity (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 U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

Keywords: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models; (follow links to similar papers)

JEL-Codes: C22; F31; F36; (follow links to similar papers)

43 pages, August 29, 2007

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