05795oam 22012014 450 991096111860332120250426110500.0978661284159097814623638651462363865978145275412314527541289781282841598128284159997814518706641451870663(CKB)3170000000055109(EBL)1608018(SSID)ssj0000944132(PQKBManifestationID)11612518(PQKBTitleCode)TC0000944132(PQKBWorkID)10983368(PQKB)10353740(OCoLC)762183935(MiAaPQ)EBC1608018(IMF)WPIEE2008208(IMF)WPIEA2008208WPIEA2008208(EXLCZ)99317000000005510920020129d2008 uf 0engur|n|---|||||txtccrGlobal Volatility and Forex Returns in East Asia /Sanjay Kalra1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (33 p.)IMF Working PapersIMF working paper ;WP/08/208Description based upon print version of record.9781451915198 1451915195 Contents; 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: 2001-078. 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, 2001-03Q27. 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; ReferencesDuring 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.IMF Working Papers; Working Paper ;No. 2008/208Foreign exchange ratesEast AsiaFinancial crisesEast AsiaCurrenciesimfCurrency marketsimfCurrencyimfExchange ratesimfFinanceimfFinance: GeneralimfForeign exchange marketimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfGovernment and the Monetary SystemimfInternational Financial MarketsimfMonetary economicsimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfPayment SystemsimfRegimesimfStandardsimfStock exchangesimfStock marketsimfPhilippinesimfForeign exchange ratesFinancial crisesCurrenciesCurrency marketsCurrencyExchange ratesFinanceFinance: GeneralForeign exchange marketForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)Government and the Monetary SystemInternational Financial MarketsMonetary economicsMonetary SystemsMoney and Monetary PolicyMoneyPayment SystemsRegimesStandardsStock exchangesStock markets332.456095Kalra Sanjay1790721DcWaIMFBOOK9910961118603321Global Volatility and Forex Returns in East Asia4371719UNINA