Global Volatility and Forex Returns in East Asia

WPIEA2008208 Image
Price:  $18.00

Author/Editor: Sanjay Kalra
Release Date: © September, 2008
ISBN : 978-1-45187-066-4
Stock #: WPIEA2008208
English
Stock Status: On back-order

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Description

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 ½ 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.

Taxonomy

Financial crisis , Foreign exchange , International financial system




More publications in this series: Working Papers


More publications by: Sanjay Kalra