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Global Volatility and Forex Returns in East Asia

Global Volatility and Forex Returns in East Asia by Sanjay Kalra
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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 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.
International Monetary Fund; September 2008
31 pages; ISBN 9781452754123
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Title: Global Volatility and Forex Returns in East Asia
Author: Sanjay Kalra
 
ISBNs
1451915195
9781451870664
9781451915198
9781452754123