An analysis on the volatility of and volatility transmission among the exchange rates of the Philippines, Singapore, South Korea, and Taiwan before, during, and after the global financial crisis for the period 2002-2014

• Main Authors: Coresis, Ma. Kristina B., Jeong, Hyun-woo, Rhew, Yoonjung, Tubog, Marius Czar A.
• Format: text
• Language: English
• Published: Animo Repository 2015
• Subjects: Foreign exchange rates-Southeast Asia; Monetary policy > Southeast Asia; Foreign exchange rates > Southeast Asia; Currency question > Southeast Asia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/10661
• Institution: De La Salle University

This paper analyses the volatility transmission between the Philippine Peso and three other Asian currencies namely, the Singapore Dollar, the New Taiwan Dollar, and the South Korean Won. The study employs a dataset which consists of time series constructed from daily exchange rates in terms of US d...