{"title":"东盟部分国家日内汇率波动溢出","authors":"Neluka Devpura, I. Gunadi, Aryo Sasongko","doi":"10.21098/bemp.v24i3.1693","DOIUrl":null,"url":null,"abstract":"In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES\",\"authors\":\"Neluka Devpura, I. Gunadi, Aryo Sasongko\",\"doi\":\"10.21098/bemp.v24i3.1693\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.\",\"PeriodicalId\":36737,\"journal\":{\"name\":\"Buletin Ekonomi Moneter dan Perbankan\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Buletin Ekonomi Moneter dan Perbankan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21098/bemp.v24i3.1693\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Buletin Ekonomi Moneter dan Perbankan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21098/bemp.v24i3.1693","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES
In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
