Volatility Dependence Across Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures Markets

43 Pages Posted: 29 Aug 2007

See all articles by Roberta Colavecchio

Roberta Colavecchio

Banque centrale du Luxembourg

Michael Funke

University of Hamburg - Department of Economics; Tallinn University of Technology (TUT)

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

Colavecchio, Roberta and Funke, Michael, Volatility Dependence Across Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures Markets (August 20, 2007). BOFIT Discussion Paper No. 17/2007, Available at SSRN: https://ssrn.com/abstract=1010586 or http://dx.doi.org/10.2139/ssrn.1010586

Roberta Colavecchio

Banque centrale du Luxembourg ( email )

2, boulevard Royal
Luxembourg, L-2983
Luxembourg

Michael Funke (Contact Author)

University of Hamburg - Department of Economics ( email )

Von-Melle-Park 5
room 2128 C rise
Hamburg, 20146
Germany

Tallinn University of Technology (TUT) ( email )

Ehitajate tee 5
Tallinn, 12618
Estonia

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