Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets

Roberta Colavecchio and Michael Funke

No 112009, Working Papers from Hong Kong Institute for Monetary Research

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; SWARCH Models (search for similar items in EconPapers)
JEL-codes: C22 F31 F36 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2009-02
New Economics Papers: this item is included in nep-cba, nep-cna, nep-ifn, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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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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