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
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;
Conference_Titel :
Business and Information Management, 2008. ISBIM '08. International Seminar on
Conference_Location :
Wuhan
Print_ISBN :
978-0-7695-3560-9
DOI :
10.1109/ISBIM.2008.250
