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
Online Access:Click for online access

MARC

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245 1 0 |a Global volatility and forex returns in East Asia /  |c prepared by Sanjay Kalra. 
260 |a Washington, D.C. :  |b International Monetary Fund,  |c ©2008. 
264 4 |c ©2008 
300 |a 1 online resource (31 pages) :  |b illustrations 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
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500 |a At head of title: Asia and Pacific Department. 
500 |a "September 2008." 
504 |a Includes bibliographical references (page 31). 
520 |a 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 generated an exchange rate depreciation of up to 1/2 percent. This sensitivity rose during the latter period in the sample, suggesting greater integration of Asian financial markets with global markets. Unconditional standard deviations estimated from these models also provide operational measures of "long-term" and "excess" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger fundamentals in the post-crisis period to more flexible regimes along with a generally lower level of mature market volatility 
588 0 |a Print version record. 
506 |3 Use copy  |f Restrictions unspecified  |2 star  |5 MiAaHDL 
533 |a Electronic reproduction.  |b [Place of publication not identified] :  |c HathiTrust Digital Library,  |d 2011.  |5 MiAaHDL 
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583 1 |a digitized  |c 2011  |h HathiTrust Digital Library  |l committed to preserve  |2 pda  |5 MiAaHDL 
505 0 |a I. Introduction; II. Methodology and Data; III. GARCH Models of East Asian Daily Forex Returns; IV. Empirical Results; A. Sensitivity of Forex Returns to Mature Equity Market Volatility; B. Conditional and Unconditional Volatility of Forex Returns:; C. Subsamples; V. Robustness; VI. Conclusions; Figures; 1. VIX and VDAX Indices; 2. Exchange Rates; 3. Daily Forex Returns; 4. Daily Squared Forex Returns; 5. FIX_AR(2)-GARCH(1,1) Models: Residuals; 6. VIX AR(2)-GARCH(1,1) Models: Squared Residuals; 7. Daily Conditional and Unconditional Volatilities: 2001-07 
505 8 |a 8. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-03Q29. Daily Conditional and Unconditional Volatilities: VIX Models, 2003Q3-07; 10. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-07; Tables; 1. Daily Foreign Exchange Return: Summary Statistics; 2. VIX and VDAX Indices: Summary Statistics; 3. Exchange Rates and Volatility Indices: Augmented Dickey-Fuller Test Statistics; 4. VAR Lag Order Selection Criteria; 5. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-07; 6. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-03Q2 
505 8 |a 7. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2003Q3-078. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-07; 9. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-03Q2; 10. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2003Q3-0; References 
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650 0 |a Foreign exchange rates  |z East Asia. 
650 0 |a Financial crises  |z East Asia. 
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650 7 |a Foreign exchange rates  |2 fast 
651 7 |a East Asia  |2 fast 
650 7 |a Devisenmarkt.  |2 stw 
650 7 |a Devisenhandel.  |2 stw 
650 7 |a Volatilität.  |2 stw 
650 7 |a ARCH-Modell.  |2 stw 
650 7 |a Ostasien.  |2 stw 
710 2 |a International Monetary Fund.  |b Asia and Pacific Department. 
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776 0 8 |i Print version:  |a Kalra, Sanjay.  |t Global volatility and forex returns in East Asia.  |d Washington, D.C. : International Monetary Fund, ©2008  |w (OCoLC)316205388 
830 0 |a IMF working paper ;  |v WP/08/208. 
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