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...

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Bibliografiske detaljer
Hovedforfatter: Kalra, Sanjay
Format: Tidsskrift
Sprog:English
Udgivet: Washington, D.C. : International Monetary Fund, 2008.
Serier:IMF Working Papers; Working Paper ; No. 2008/208
Online adgang:Full text available on IMF