Arbeitspapier

Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures

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.

ISBN
952-462-840-6
Language
Englisch

Bibliographic citation
Series: BOFIT Discussion Papers ; No. 16/2006

Classification
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
Financial Aspects of Economic Integration
Subject
China
renminbi
Asia
forward exchange rates
non-deliverable forward market
multivariate GARCH models

Event
Geistige Schöpfung
(who)
Colavecchio, Roberta
Funke, Michael
Event
Veröffentlichung
(who)
Bank of Finland, Institute for Economies in Transition (BOFIT)
(where)
Helsinki
(when)
2006

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Colavecchio, Roberta
  • Funke, Michael
  • Bank of Finland, Institute for Economies in Transition (BOFIT)

Time of origin

  • 2006

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