Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Asia and Pacific Department.
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| ISBN: | 1451915195
9781451915198
9781451870664
1451870663
1462363865
9781462363865
1452754128
9781452754123
9786612841590
6612841591
1282841599
9781282841598
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| Digital file characteristics: | text file
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| Notes: | At head of title: Asia and Pacific Department.
"September 2008."
Includes bibliographical references (page 31).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | 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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| Other form: | Print version: Kalra, Sanjay. Global volatility and forex returns in East Asia. Washington, D.C. : International Monetary Fund, ©2008
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| Standard no.: | 10.5089/9781451915198.001
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