DYNAMIC VOLATILITY SPILLOVERS BETWEEN CURRENCIES OF ASEAN MEMBER COUNTRIES AND CHINA: EVIDENCE FROM TVP-VAR APPROACH

Min Liu (), Hong-Fei Liu () and Shuai Liu
Additional contact information
Min Liu: School of Economics and Management, Nanchang University, Nanchang 330031, P. R. China
Hong-Fei Liu: School of Economics and Management, Nanchang University, Nanchang 330031, P. R. China
Shuai Liu: National Academy of Economic Strategy, Chinese Academy of Social Sciences, Beijing 100006, P. R. China

The Singapore Economic Review (SER), 2025, vol. 70, issue 02, 487-511

Abstract: Driven by the importance of analyzing interregional volatility spillover effects, this study investigates dynamic volatility spillovers between the currencies of China– ASEAN Free Trade Area (FTA) member countries by applying the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach to a sample spanning January 1, 2006, to October 31, 2022. The results show that (1) dynamic volatility connectedness varies over time and reaches peaks due to economic events, such as the 2008 global financial crisis (GFC) and the COVID-19 pandemic; (2) the Chinese yuan (CNY) market assumes more of a net receiving role for volatility spillovers after the 811 exchange rate reform, while the Singapore dollar (SGD) market assumes more of a net transmitting role for volatility spillovers in the whole sample period and (3) negative spillovers are dominant during the study period, except during the European debt crisis. Our findings can help China and ASEAN establish an exchange rate coordination mechanism to prevent the cross-country transmission of exchange rate risk.

Keywords: China–ASEAN; foreign exchange market; volatility spillovers; TVP-VAR; dynamic connectedness (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021759082450036X
Access to full text is restricted to subscribers

Related works:
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:wsi:serxxx:v:70:y:2025:i:02:n:s021759082450036x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021759082450036X

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().