Return and volatility spillovers between the Renminbi and Asian Currencies

Return and volatility spillovers between the Renminbi and Asian Currencies

This paper examines the extent of interdependence between the Chinese Renminbi and Asian currenciesafter the global financial crisis. We combine the distinct influence of offshore Renminbi with the impact ofthe onshore rate on eight Asian currencies (including the Australian dollar). Diebold-Yilmaz...

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Bibliographic Details
Main Author: CHOW-TAN, Hwee Kwan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Asian currencies
Offshore and onshore Renminbi
Spillovers
Transmission channels
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2241
https://ink.library.smu.edu.sg/context/soe_research/article/3240/viewcontent/Chow__2018__Return_and_Volatility_Spillovers_between_RMB_and_Asian_Currencies.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2241
https://ink.library.smu.edu.sg/context/soe_research/article/3240/viewcontent/Chow__2018__Return_and_Volatility_Spillovers_between_RMB_and_Asian_Currencies.pdf

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