Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212608 
Year of Publication: 
2007
Series/Report no.: 
BOFIT Discussion Papers No. 17/2007
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
This paper estimates switching autoregressive conditional heteroscedasticity (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 U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.
Subjects: 
China
renminbi
Asia
forward exchange rates
non-deliverable forward market
SWARCH models
JEL: 
C22
F31
F36
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-881-5
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.