SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019. By using the spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on the spillover of exchang...

Full description

Bibliographic Details
Main Author: Neluka Devpura
Format: Article
Language:Indonesian
Published: Bank Indonesia 2021-04-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
exchange rates;
spillover effects;
spillover index
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1301

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/1301

Similar Items