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Global volatility and forex returns in East Asia /
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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
©2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/208. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 |
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| Notas: | At head of title: Asia and Pacific Department. "September 2008." |
| Descripción Física: | 1 online resource (31 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (page 31). |
| ISBN: | 1451915195 9781451915198 9781451870664 1451870663 1462363865 9781462363865 1452754128 9781452754123 9786612841590 6612841591 1282841599 9781282841598 |