Global Volatility and Forex Returns in East Asia /

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models suggest that a 5 percentage point increase in mature market equity volatility gen...

Ausführliche Beschreibung

Bibliographische Detailangaben
1. Verfasser: Kalra, Sanjay
Format: Zeitschrift
Sprache:English
Veröffentlicht: Washington, D.C. : International Monetary Fund, 2008.
Schriftenreihe:IMF Working Papers; Working Paper ; No. 2008/208
Online Zugang:Full text available on IMF