Volatility Dependence Across Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures Markets
43 Pages Posted: 29 Aug 2007
Date Written: August 20, 2007
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
JEL Classification: C22, F31, F36
Suggested Citation: Suggested Citation
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