BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
() 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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