A study on the volatility transmission in the exchange rates of the currencies of the Philippines, South Korea, and Indonesia and the impacts of the global and Asian financial crises for the period 1990-2009

• Main Authors: Awayan, Niela Mary Jane D., Gurrea, Fern Ives L., Quipones, Marvin Kyle U., Tang Woo, Sarah Jane N.
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Foreign exchange rates; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18405
• Institution: De La Salle University

This paper investigates the nature of exchange rates and their volatility transmission. The currencies of three Asian nations were utilized, namely that of the Philippine peso, South Korean won and Indonesian rupiah. Using data gathered from the time period of 1990-2009, the study encompasses an analysis of volatility behaviour among the currencies via pairwise performance evaluation under two distinct crises: the Asian financial crisis of 1997 and the global financial crisis of 2007. Furthermore, each analysis is documented under a determined timeframe known as a pre-crisis and crisis period. General auto aggressive conditional heteroskedasticity (GARCH) model was used to evaluate individual currency volatility while vector autoregression (VAR) model was utilized to study and analyze transmissive behavior between chosen currencies. After collectively analyzing the results, the porponents produced findings which indicate a degree of volatility transmission among the different currencies. However, the magnitude of the transmission intensifies or weakens depending on the economic situation or environment that the markets experienced during that time period.