Interest rate-exchange rate dynamics in the Philippines: A DCC analysis

Applied Economics Letters

Volumn 10, Issue 2, 2003, Pages 107-111

  Bautista, Carlos C ^a  

^a UNIVERSITY OF THE PHILIPPINES   (Philippines)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION; EXCHANGE RATE; INTEREST RATE; MULTIVARIATE ANALYSIS;

PHILIPPINES;

EID: 0037429051     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485022000040970     Document Type: Article

References (10)

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2. Bautista, C. (2002a) Boom-bust cycles and crisis periods in the Philippines: A regime-switching analysis, Philippine Review of Economics, forthcoming.
3. Bautista, C. (2002b) Stock market volatility in the Philippines, Applied Economics Letters, forthcoming.
4. Bollerslev, T. (1990) Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH Model, Review of Economics and Statistics, 72, 498-505.
5. De Dios, E. (1993) Poverty, Growth and the Fiscal Crisis, Philippine Institute for Development Studies and International Development Research Center, Makati, Metro Manila, Philippines.
6. Engle, R. (2000) Dynamic conditional correlation - A simple class of multivariate GARCH models, University of California, San Diego, Department of Economics, discussion paper 2000-09.
7. Engle, R. and Kroner, K. (1995) Multivariate simultaneous GARCH, Econometric Theory 11, 122-50.
8. Engle, R. and Sheppard, K. (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, University of California, San Diego, Department of Economics, discussion paper 2001-15.
9. Franses, P. and Van Dijk, D.(2000) Non-linear Time Series Models in Empirical Finance, Cambridge University Press.
10. Furman, J. and Stiglitz, J. (1998) Economic crises: Evidence and insights from East Asia, Brookings Papers on Economic Activity, 2, 1-135.