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Title:Volatility and causality in Asia Pacific financial markets PDF Logo
Authors:Weber, Enzo
Issue Date:2007
Series/Report no.:SFB 649 discussion paper 2007,004
Abstract:The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, monetary policy behaviour or equity market reagibility. Additionally, a correlation analysis of the identified innovations reveals the degree of coherence in the Asian Pacific region.
Subjects:Structural EGARCH
Financial Markets
Asia Pacific
JEL:C32
G15
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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