Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000

The thrust of this paper is to investigate the linkage of the volatility of exchange rates of currencies which were adversely affected during the recent Asian currency crisis. Specifically, the study attempts to confirm the presence of volatility transmission and compares the temporal behavior of th...

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Main Authors: Chan, Quennie W., Chua, Jermyn C., How, Annabelle Lorraine C.
Format: text
Language:English
Published: Animo Repository 2001
Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/17123
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-176362022-01-24T06:03:20Z Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000 Chan, Quennie W. Chua, Jermyn C. How, Annabelle Lorraine C. The thrust of this paper is to investigate the linkage of the volatility of exchange rates of currencies which were adversely affected during the recent Asian currency crisis. Specifically, the study attempts to confirm the presence of volatility transmission and compares the temporal behavior of the transmission between the Philippine peso and Indonesian rupiah for the pre-crisis, crisis, and post-crisis subperiods. The plan for the rest of this paper is as follows. Models for the volatility of the peso and the rupiah will first be estimated using univariate GARCH (1,1) specifications. These models will then be used to prove our hypotheses on the behavior of exchange rate volatility. Next, vector auto regression (VAR) will be employed to simultaneously model returns (volatility) transmission between the currencies under study. Said models will prove the existence or non-existence of volatility transmission between the currencies. Finally, the VAR model for both currencies will be estimated on the overall, pre-crisis, and post-crisis periods to discover the effects, if any, of the Asian currency crisis on the volatility transmission between the two currencies. The study confirms the presence of own-market volatility transmission for both currencies. We also find evidence of volatility transmission for all subperiods except the pre-crisis period. Effects of the Asian currency crisis are still evident during the post-crisis subperiod specification. Furthermore, results of the study support the conjecture that volatility transmission is greater during periods of turbulence than during periods of relative calm. Finally, the paper discusses market contagion as the driving force behind volatility spillovers among currencies. 2001-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/17123 Bachelor's Theses English Animo Repository
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
description The thrust of this paper is to investigate the linkage of the volatility of exchange rates of currencies which were adversely affected during the recent Asian currency crisis. Specifically, the study attempts to confirm the presence of volatility transmission and compares the temporal behavior of the transmission between the Philippine peso and Indonesian rupiah for the pre-crisis, crisis, and post-crisis subperiods. The plan for the rest of this paper is as follows. Models for the volatility of the peso and the rupiah will first be estimated using univariate GARCH (1,1) specifications. These models will then be used to prove our hypotheses on the behavior of exchange rate volatility. Next, vector auto regression (VAR) will be employed to simultaneously model returns (volatility) transmission between the currencies under study. Said models will prove the existence or non-existence of volatility transmission between the currencies. Finally, the VAR model for both currencies will be estimated on the overall, pre-crisis, and post-crisis periods to discover the effects, if any, of the Asian currency crisis on the volatility transmission between the two currencies. The study confirms the presence of own-market volatility transmission for both currencies. We also find evidence of volatility transmission for all subperiods except the pre-crisis period. Effects of the Asian currency crisis are still evident during the post-crisis subperiod specification. Furthermore, results of the study support the conjecture that volatility transmission is greater during periods of turbulence than during periods of relative calm. Finally, the paper discusses market contagion as the driving force behind volatility spillovers among currencies.
format text
author Chan, Quennie W.
Chua, Jermyn C.
How, Annabelle Lorraine C.
spellingShingle Chan, Quennie W.
Chua, Jermyn C.
How, Annabelle Lorraine C.
Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
author_facet Chan, Quennie W.
Chua, Jermyn C.
How, Annabelle Lorraine C.
author_sort Chan, Quennie W.
title Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
title_short Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
title_full Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
title_fullStr Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
title_full_unstemmed Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000
title_sort modeling exchange rate volatility and volatility transmission between the philippine peso and indonesian rupiah for the period january 1996 to june 2000
publisher Animo Repository
publishDate 2001
url https://animorepository.dlsu.edu.ph/etd_bachelors/17123
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