Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets

Michael Funke and Roberta Colavecchio

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

Abstract: This paper estimates switching autoregressive conditional heteroskedasticity (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 currency forwards markets 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; multivariate GARCH models (search for similar items in EconPapers)
JEL-codes: C22 F31 F36 (search for similar items in EconPapers)
Date: 2009-03
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets (2009)
Working Paper: Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:20903

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