The Asia financial crises and exchange rates: Had there been volatility shifts for Asian currencies?

Arbeitspapier

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility dynamics has changed at least once.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 254

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Bayesian Analysis: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Markov switching GARCH models ; Asian currency crisis 1997 ; volatility breaks ; Bayesian MCMC ; model choice ; US-Dollar ; Währung ; Asiatisch ; Volatilität ; Währungskrise ; Bayes-Statistik ; Markovscher Prozess ; Schätzung ; Asien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Oga, Takashi ; Polasek, Wolfgang
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/72698
• Last update: 10.03.2025, 11:44 AM CET