SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

نویسندگان

چکیده

We analyze the nature of exchange rate return spillovers for 16 currencies. use 10 years daily data, covering January 01, 2010 to December 31, 2019. By using spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on returns among Asian countries. The largest flows from Singapore dollar other currencies (16.49%). Overall, our results confirm presence within countries about 22% forecast error variance is due spillovers.

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ژورنال

عنوان ژورنال: Buletin ekonomi moneter dan perbankan

سال: 2021

ISSN: ['1410-8046']

DOI: https://doi.org/10.21098/bemp.v24i1.1301