Global volatility and forex returns in East Asia

Global volatility and forex returns in East Asia / prepared by Sanjay Kalra.

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models suggest that a 5 percentage point increase in mature market equity volatility gen...

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Bibliographic Details
Main Author: Kalra, Sanjay (Author)
Corporate Author: International Monetary Fund. Asia and Pacific Department
Format: eBook
Language:English
Published: Washington, D.C. : International Monetary Fund, ©2008.
©2008
Series:IMF working paper ; WP/08/208.
Subjects:
Foreign exchange rates > East Asia.
Financial crises > East Asia.
Financial crises
Foreign exchange rates
Devisenmarkt.
Devisenhandel.
Volatilität.
ARCH-Modell.
Ostasien.
East Asia
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