中国金融学术研究网

所属栏目：资本市场/外汇市场与汇率

Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures

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发布日期：2008年11月12日上次修订日期：2008年11月12日

Roberta Colavecchio colavecchio@econ.uni-hamburg.de Hamburg University Michael Funke funke@econ.uni-hamburg.de Hamburg University

摘要

This paper estimates switching autoregressive conditional heteroskedasticity (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 currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

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关键词：

China renminbi Asia forward exchange rates non-deliverable forward market SWARCH models

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