Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market

Pacific Basin Finance Journal

Volumn 22, Issue 1, 2013, Pages 37-49

  Gu, Li ^a   McNelis, Paul D ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b FORDHAM UNIVERSITY   (United States)

Author keywords

Bayesian forecasting; Bayesian VAR; Nested models; Out of sample Granger tests of causality; Prediction; VAR

Indexed keywords

EID: 84872836335     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2012.09.002     Document Type: Article

References (37)

1. Andersen T., Bollerslev F. Diebold, Labys P. Modeling and forecasting realized volatility. Econometrica 2003, 71:579-626.
2. Belaire-Franch Jorge, Contreras-Bayarri Dulce The BDS test: a practitioner's guide. Working paper 2001, Departamento de Analisis Economico, Universitat de Valencia, Web page: aeser.anaeco.us.es/pdf/dt02-01.
3. Bergsten Fred Bush needs to make a decisive change of course. Financial Times 2004, 13. (Dec. 14).
4. Brock W., Dechert W., Scheinkman J. A test for independence based on the correlation dimension. Working paper 1987, Department of Economics, University of Wisconsin, Madison.
5. Calvo Guillermo, Reinhart Carmen M. Fear of floating. The Quarterly Journal of Economics 2002, 117:379-408.
6. Chao John, Corradi Valentina, Swanson Norman An out-of-sample test for Granger causality. Macroeconomic Dynamics 2001, 5:598-620.
7. Cheung Yin-Wong, Chinn Menzie D., Fujii Eiji Pitfalls in measuring exchange rate misalignment: the Yuan and other currencies. Working paper 2008, Department of Economics, University of Wisconsin.
8. Chinn Menzie D., Ito Hiro A new measure of financial openness. Working paper 2007, University of Wisconsin.
9. Clark Todd E., West Kenneth D. Using out-of-sample mean squared-prediction-errors to test the martingale difference hypothesis. Journal of Econometrics 2006, 135(1-2):155-186.
10. Colavecchio Roberta, Funke Michael Volatility transmissions between remimbi and Asia-Pacific on-shore and off-shore U.S. Dollar futures. China Economic Review 2008, 19:635-648.
11. Cordon W. Max China's exchange rate policy, its current account surplus and the global imbalances. The Economic Journal 2009, 119:F430-F441.
12. Coudert V., Couharde C. Real equilibrium exchange rate in China. CEPII working paper 2005-01 2005.
13. Diebold Francis X., Mariano Roberto Comparing predictive accuracy. Journal of Business and Economic Statistics 1995, 3:253-263.
14. Dooley Michael P., Folkerts-Landau David, Garber Peter M. The U.S. current account deficit and economic development: collateral for a total return swap. Working paper 10727 2004, National Bureau of Economic Research.
15. Fang Ying, Huang Shicheng, Niu Linlin De facto currency baskets of China and East Asian economies: the rising weights. Working paper 2 2012, Institute for Economies in Transition, Bank of Finland.
16. Frankel Jeffrey On the Yuan: the choice between adjustment under a fixed exchange rate and adjustment under a flexible rate. CESifo Economic Studies 2006, 52:246-275.
17. Franses Philip Hans, van Dijk Dick Non-linear time series models in empirical finance 2000, Cambridge University Press, Cambridge.
18. Giacomini Raffaella, White Halbert Tests of conditional predictive ability. Working paper 2004, Department of Economics, University of California, Los Angeles.
19. Guru Anuradha Non-deliverable forward markets for Indian rupee: an empirical study. Working paper 2009, National Stock Exchange of India, Ltd.
20. Hamilton James D. Time series analysis 1994, Princeton University Press, Princeton, N.J.
21. Hohensee M., Lee K. A survey on hedging markets in Asia. Korea University/BIS conference Asian bond markets: issues and prospects, Seoul, March 2004.
22. Jarque C.M., Bera A.K. Efficient tests for normality, homoscedasticity, and serial independence of regression residuals. Economics Letters 1980, 6:255-259.
23. Kang Myung-koo Global financial crisis and systemic risks in the Korean banking sector. Academic paper series 2009, 5. Korea Economic Institute.
24. Khor H.E., Robinson E., Lee J. Managed floating and intermediate exchange rate systems: the Singapore experience. MAS Staff working paper 37 2004.
25. Lau Francis, Mo Yik-ko, Li Kim-hung The impact of a Renmimbi appreciation on global imbalances and intra-regional trade. Hong Kong Monetary Authority Quarterly Bulletin 2004, 16-31. March.
26. Lee T.H., White H., Granger C.W.J. Testing for neglected nonlinearity in times series models: a comparison of neural network models and standard tests. Journal of Econometrics 1992, 56:269-290.
27. Lipscomb Laura An overview of non-deliverable foreign exchange forward markets 2005, Federal Reserve Bank of New York, (Manuscript).
28. Litterman Robert Forecasting with Bayesian vector autoregressions: five years of experience. Journal of Business and Economic Statistics 1986, 4:25-38.
29. Ljung G.M., Box G.E.P. On a measure of lack of fit of time series models. Biometrica 1978, 65:297-303.
30. McLeod A.I., Li W.K. Diagnostic checking of ARMA time series models using squared-residual autocorrelations. Journal of Time Series Analysis 1983, 4:269-273.
31. Neftci Salih N. Financial engineering of Renmimbi revaluation bets and implications for Hong Kong Dollar Web page. http://www.neftci.com.
32. Niehans Jurg Static deviations from purchasing-power parity. Journal of Monetary Economics 1981, 7:57-68.
33. Park Junwoo Information flows between non-deliverable forward (NDF) and spot markets: evidence from Korean currency. Pacific-Basin Finance Journal 2001, 9:363-377.
34. Pesaran M. Hashem, Shin Yongcheol Generalized impulse response analysis in linear multivariate models. Economics Letters 1998, 58:17-29.
35. Stock James H., Watson Mark W. Forecasting inflation. Journal of Monetary Economics 1999, 44:293-335.
36. Theil Henri On the use of incomplete prior information in regression analysis. Journal of the American Statistical Association 1963, 58:401-414.
37. Zhang Peter Renminbi derivatives 2004, World Scientific Press, London.