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...
| Hoofdauteur: | |
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| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Reeks: | IMF Working Papers; Working Paper ;
No. 2008/208 |
| Online toegang: | Full text available on IMF |