On Spillover effect of RMB exchange Rate Volatility

被引：0
|
作者：
Zhang, Jiaping [1 ]
Fan, Min [1 ]
Yu, Xiaojian [1 ]
机构：
[1] S China Univ Technol, Res Ctr Financial Engn, Guangzhou, Guangdong, Peoples R China
来源：
ISBIM: 2008 INTERNATIONAL SEMINAR ON BUSINESS AND INFORMATION MANAGEMENT, VOL 2 | 2009年
关键词：
spillover effect; MGARCH; exchange rate; GENERALIZED ARCH; MODEL;
D O I：
10.1109/ISBIM.2008.250
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：441 / 444
页数：4
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