Exchange Rate Volatility Contagion during Global Financial Crisis: An Empirical Study of Asian Countries

• Main Authors: Chen-Yu Su, 蘇貞瑜
• Other Authors: Chien-Hui Lee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/f73ngb

碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 102 === In this study we use daily data of exchange rate from January 2, 2006 to December 31, 2009 to examine whether there is an asymmetry effect on the exchange rate volatility of Asian countries during the global financial crisis. We apply GJR-GARCHX Model to check whether the United States exchange rate market has volatility contagion effects on Asian countries. There are two empirical results we found in our study. First, the exchange rates of Taiwan, China, Japan, Korea, Hong Kong, Vietnam, Singapore, Thailand, Indonesia and India have significant asymmetry phenomena. Second, during the global financial crisis, Taiwan, China, Japan, South Korea, Hong Kong, Vietnam, Singapore, Malaysia, Indonesia and India, have a significant exchange rate volatility contagious effect that was affected by United States exchange rate market.