LEADER 05576oam 22011054 450 001 9910788346303321 005 20230721045700.0 010 $a1-4623-6386-5 010 $a1-4527-5412-8 010 $a9786612841590 010 $a1-282-84159-9 010 $a1-4518-7066-3 035 $a(CKB)3170000000055109 035 $a(EBL)1608018 035 $a(SSID)ssj0000944132 035 $a(PQKBManifestationID)11612518 035 $a(PQKBTitleCode)TC0000944132 035 $a(PQKBWorkID)10983368 035 $a(PQKB)10353740 035 $a(OCoLC)762183935 035 $a(MiAaPQ)EBC1608018 035 $a(IMF)WPIEE2008208 035 $a(EXLCZ)993170000000055109 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aGlobal Volatility and Forex Returns in East Asia /$fSanjay Kalra 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (33 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/208 300 $aDescription based upon print version of record. 311 $a1-4519-1519-5 327 $aContents; 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: 2001-07 327 $a8. 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 327 $a7. 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 330 3 $aDuring 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models suggest that a 5 percentage point increase in mature market equity volatility generated an exchange rate depreciation of up to ½ percent. This sensitivity rose during the latter period in the sample, suggesting greater integration of Asian financial markets with global markets. Unconditional standard deviations estimated from these models also provide operational measures of "long-term" and "excess" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger fundamentals in the post-crisis period to more flexible regimes along with a generally lower level of mature market volatility. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/208 606 $aForeign exchange rates$zEast Asia 606 $aFinancial crises$zEast Asia 606 $aFinance: General$2imf 606 $aForeign Exchange$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInternational Financial Markets$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aExchange rates$2imf 606 $aCurrency markets$2imf 606 $aStock markets$2imf 606 $aCurrencies$2imf 606 $aForeign exchange market$2imf 606 $aStock exchanges$2imf 606 $aMoney$2imf 607 $aPhilippines$2imf 615 0$aForeign exchange rates 615 0$aFinancial crises 615 7$aFinance: General 615 7$aForeign Exchange 615 7$aMoney and Monetary Policy 615 7$aInternational Financial Markets 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aCurrency 615 7$aForeign exchange 615 7$aFinance 615 7$aMonetary economics 615 7$aExchange rates 615 7$aCurrency markets 615 7$aStock markets 615 7$aCurrencies 615 7$aForeign exchange market 615 7$aStock exchanges 615 7$aMoney 676 $a332.456095 700 $aKalra$b Sanjay$01493511 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788346303321 996 $aGlobal Volatility and Forex Returns in East Asia$93716514 997 $aUNINA