Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures

Michael Funke and Roberta Colavecchio

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

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: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; multivariate GARCH models (search for similar items in EconPapers)
JEL-codes: C22 F31 F36 (search for similar items in EconPapers)
Date: 2008-12
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Citations: View citations in EconPapers (10)

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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)
Working Paper: Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2008)
Working Paper: Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:20812

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