DocumentCode
2239384
Title
On Spillover Effect of RMB Exchange Rate Volatility
Author
Zhang, Jiaping ; Fan, Min ; Yu, Xiaojian
Author_Institution
Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou
Volume
2
fYear
2008
fDate
19-19 Dec. 2008
Firstpage
441
Lastpage
444
Abstract
Since the reform of RMB exchange rate regime in 2005, RMB exchange rate is much more flexible and volatile. The status and influence of RMB are greater with the sustained growth of Chinese economy. This paper investigates the spillover effect of RMB exchange rate on other currencies, especially Asian currencies using the multivariate GARCH model. Finally, we give a few concluding remarks and some suggestions for future research on spillover effect of RMB under empirical analysis.
Keywords
autoregressive processes; exchange rates; Asian currencies; Chinese economy; RMB exchange rate regime; RMB exchange rate volatility; multivariate GARCH model; spillover effect; sustained growth; Couplings; Covariance matrix; Crisis management; Econometrics; Economic forecasting; Exchange rates; Information management; Loans and mortgages; Seminars; Supply and demand; MGARCH; exchange rate; spillover effect;
fLanguage
English
Publisher
ieee
Conference_Titel
Business and Information Management, 2008. ISBIM '08. International Seminar on
Conference_Location
Wuhan
Print_ISBN
978-0-7695-3560-9
Type
conf
DOI
10.1109/ISBIM.2008.250
Filename
5116514
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