VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES

Neluka Devpura (), Iman Gunadi and Aryo Sasongko ()
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Neluka Devpura: University of Sri Jayewardenepura,
Aryo Sasongko: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue 3, 335-364

Abstract: In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.

Keywords: ASEAN; Exchange rate; Volatility; Shocks. (search for similar items in EconPapers)
JEL-codes: C40 F31 G20 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:3b:p:335-364

DOI: 10.21098/bemp.v24i3.1693

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