Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael (20.08.2007)
JulkaisusarjaBOFIT Discussion Papers
JulkaisijaBank of Finland
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-201408072230
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 JEL-Classification: C22, F31, F36
Published in Journal of Asian Economics, Vol. 20, No. 2, March 2009 as "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets"