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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
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Related works:
Working Paper: Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2008) Downloads
Working Paper: Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2008) Downloads
Working Paper: Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2007) Downloads
Working Paper: Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2006) Downloads
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China Economic Review is currently edited by B.M. Fleisher, K. X. D. Huang, M.E. Lovely, Y. Wen, X. Zhang and X. Zhu

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