VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES

Authors

Neluka Devpura, University of Sri Jayewerdenepura, Sri LankaFollow
Iman Gunadi, Bank Indonesia, IndonesiaFollow
Aryo Sasongko, Bank Indonesia, IndonesiaFollow

Document Type

Article

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.

Recommended Citation

Devpura, Neluka; Gunadi, Iman; and Sasongko, Aryo (2021) "VOLATILITY SPILLOVER OF INTRADAY EXCHANGE RATES ON SOME SELECTED ASEAN COUNTRIES," Bulletin of Monetary Economics and Banking: Vol. 24: No. 3, Article 2.
DOI: https://doi.org/10.21098/bemp.v24i3.1693
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss3/2

First Page

335

Last Page

364

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Sri Lanka

Affiliation

University of Sri Jayewerdenepura