VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES

  • Neluka Devpura University of Sri Jayewerdenepura
  • Iman Gunadi Bank Indonesia, Indonesia
  • Aryo Sasongko Bank Indonesia, Indonesia
Keywords: ASEAN, Exchange rate, Volatility, Shocks

Abstract

In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test the hypothesis that exchange rate own shocks dominate exchange rate volatility. We find strong evidence that own exchange rate volatility explains between 64% to 86% of their own exchange rate volatility movements. These results do not change when we include the Chinese CNY currency in the analysis. Moreover, we find that exchange rate shocks of ASEAN countries explain 36%, 24% and 23% of exchange rate volatility movements of Indonesia, Thailand, and Singapore, suggesting that for these countries are more synchronized.

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Published
2021-09-30
How to Cite
Devpura, N., Gunadi, I., & Sasongko, A. (2021). VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES. Buletin Ekonomi Moneter Dan Perbankan, 24(3), 335 - 364. https://doi.org/10.21098/bemp.v24i3.1693
Section
Articles

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