Location of Repository

Volatility and Causality in Asia Pacific Financial Markets

By Enzo Weber

Abstract

The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows the identification of the contemporaneous effects between the variables. Structural VARs or VECMs can therefore give answers to questions of exchange rate stabilisation, monetary policy behaviour or equity market reagibility. Additionally, a correlation analysis of the identified innovations reveals the degree of coherence in the Asian Pacific region

Topics: Financial Markets, Asia Pacific, Structural EGARCH, 330 Wirtschaft, 17 Wirtschaft, ddc:330
Publisher: Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Year: 2007
OAI identifier: oai:edoc.hu-berlin.de:18452/4675
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://dx.doi.org/10.18452/402... (external link)
  • http://edoc.hu-berlin.de/18452... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.