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dc.contributor.authorGhosh, Saurabhen_US
dc.date.accessioned2012-08-16en_US
dc.date.accessioned2012-09-13T11:50:46Z-
dc.date.available2012-09-13T11:50:46Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/62346-
dc.description.abstractWe find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and international crude oil prices to the foreign exchange market are found to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms of their influence through shocks and in terms of lagged volatility (persistence) coefficients. There are evidences of asymmetric reactions in the forex market volatility. Comparisons between pre-crisis and post-crisis periods indicate that the reform measures and changes in financial markets microstructure during the crisis period had significant impact on volatility spillover. During the post-crisis period, it is the past volatility (persistent or fundamental) changes, rather than the temporary shocks, that had significant spillover effect on forex volatility. There are evidences of decline in asymmetric response in the forex market during the post-crisis period for the Indian economy.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKiel advanced studies Working Papers 460en_US
dc.subject.jelG13en_US
dc.subject.jelF31en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordemerging financial marketen_US
dc.subject.keywordexchange rateen_US
dc.subject.keywordvolatility spilloveren_US
dc.subject.keywordmultivariate GARCHen_US
dc.subject.keywordthreshold GARCHen_US
dc.subject.keywordGJR-TGARCHen_US
dc.titleVolatility spillover in the foreign exchange market: The Indian experienceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn72134786Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Kiel Advanced Studies Working Papers, IfW
Publikationen von Forscherinnen und Forschern des IfW

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