Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures

Roberta Colavecchio and Michael Funke

China Economic Review, 2008, vol. 19, issue 4, 635-648

Abstract: This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency markets but that such co-movements exhibit a substantial degree of heterogeneity. As to the determinants of the magnitude of these co-movements, we test the relevance of potential factors and find that it is the degree of real and financial integration, in particular, that exerts the largest influence on volatility transmission.

Keywords: C22; F31; F36; China; Renminbi; Asia; Forward; exchange; rates; Non-deliverable; forward; market; Multivariate; GARCH; models (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1043-951X(08)00030-8
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2008)
Working Paper: Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2008)
Working Paper: Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:chieco:v:19:y:2008:i:4:p:635-648

Access Statistics for this article

China Economic Review is currently edited by B.M. Fleisher, K. X. D. Huang, M.E. Lovely, Y. Wen, X. Zhang and X. Zhu

More articles in China Economic Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().