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Zertifikat "audit berufundfamilie"

Inhaltsbereich: Institut für Arbeitsmarkt- und Berufsforschung

Volatility and causality in Asia Pacific financial markets


"This article analyses shock and volatility transmission between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 to 2006. The proposed methodology achieves identification of the simultaneous equation systems by modelling the high-frequency heteroscedasticity of the structural disturbances in multivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) processes. The procedure avoids exclusion restrictions, considers volatility spillover and guarantees positive definite covariance-matrices. Important results include the key issues of monetary policy reactions to financial shocks, the potential of exchange rate stabilization strategies or equity market responses to interest and exchange rate developments. Additionally, regional coherence of the structural financial innovations is explored." (Author's abstract, IAB-Doku) ((en))

Autorin / Autor

Bibliografische Daten

Weber, Enzo (2010): Volatility and causality in Asia Pacific financial markets. In: Applied Financial Economics, Vol. 20, No. 16, S. 1269-1292.