Domestic and Foreign Currency - Specific Shocks in Asian Foreign Exchange Markets

Keun-Yeong Lee
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Keun-Yeong Lee: Sungkyunkwan University

Korean Economic Review, 2002, vol. 18, 43-67

Abstract: This paper investigates joint dynamics in three Asian emerging foreign exchange markets. The empirical results indicate that domestic and foreign currency-specific shocks have a significant impact on exchange rate changes and their volatility in the region. It also suggests that exchange rate changes and their volatility in these Asian countries respond asymmetrically to positive and negative residuals. But these effects on exchange rate changes become weaker after the Asian currency crises of 1997 came to an end.

Keywords: Currency-specific shocks; VAR; EGARCH; impulse response (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Date: 2002
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