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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

No 17/2007, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes. Keywords: China, renminbi, Asia, forward exchange rates, non-deliverable forward market, SWARCH models JEL-Classification: C22, F31, F36

JEL-codes: C22 F31 F36 (search for similar items in EconPapers)
Date: 2007-08-20
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Published in Published in Journal of Asian Economics, Vol. 20, No. 2, March 2009 as "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets"

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Related works:
Journal Article: Volatility transmissions 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 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 (2006) Downloads
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