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 dollar per one unit of local currency from August 2002 to July 2007 for the pre-crisis period, August 2007 up to February 2009 for the crisis period, and from March 2009 to February 2014 for the post-crisis period. Univariate GARCH model is first used to estimate the volatility models for each currency. Vector Autoregression model is then employed to model volatility transmission among the currencies in the study. The resulting models will show the existence or non-existence of volatility transmission between the currencies during the different subperiods of the timeframe, and to observe any effects of the Global Financial Crisis on currency volatility. The study found evidence of the presence of volatility transmission during all subperiods. Furthermore, the study supports the postulation that volatility is aggravated during periods of financial crisis. The consequences of the Global financial crisis are still felt since volatility transmission among the currencies have intensified during the post-crisis period. As such, it is important for financial regulatory boards to monitor exchange rate movements as these can have considerable effects on international trade.