지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2013.5
- 수록면
- 383 - 403 (21page)
이용수
초록· 키워드
오류제보하기
This study investigates the nature and extent of return and volatility spillovers among 10 East Asian exchange rates using the variance decomposition results from a generalized VAR and the corresponding generalized spillover index given by Diebold and Yilmaz (2012), which overcomes the drawbacks generally found in identification schemes of variance decompositions. Several results are remarkable. First, the spillovers have increased dramatically, but fluctuate periodically. The upward trend of spillovers is consistent with a continuous increase in financial market integration. Second, the return and volatility spillovers show large variability over time and are positively associated with extreme economic episodes, such as the Asian crisis of 1997, the dollar crisis of 2005, the global financial crisis of 2008 2009, and the ongoing European debt crisis. Third, the time varying patterns of the return and volatility spillovers are very different across exchange rates. For example, the Korean won has been experienced the most dramatic increase in the return spillover from others, and the Singapore dollar is the most dominant net transmitter of return spillover, hence playing the role of a leader. These results have important implications for exchange rate forecast, risk management, central bank interventions and international trade.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Statistical Method and Data
Ⅲ. Empirical Findings
Ⅳ. Conclusion
References
참고문헌 (0)
참고문헌 신청이 논문의 저자 정보
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2014-320-002563577