Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212588 
Year of Publication: 
2006
Series/Report no.: 
BOFIT Discussion Papers No. 16/2006
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
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 comovements, 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.
Subjects: 
China
renminbi
Asia
forward exchange rates
non-deliverable forward market
multivariate GARCH models
JEL: 
C22
F31
F36
Persistent Identifier of the first edition: 
ISBN: 
952-462-840-6
Document Type: 
Working Paper

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