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Dynamic Linkages Among Financial Markets In The Greater China Region: A Multivariate Asymmetric Approach, Kin-Yip Ho, Zhaoyong Zhang
Dynamic Linkages Among Financial Markets In The Greater China Region: A Multivariate Asymmetric Approach, Kin-Yip Ho, Zhaoyong Zhang
Zhaoyong Zhang
This study examines the volatility dynamics of the Greater China stock markets by employing a multivariate framework that incorporates the features of asymmetries, persistence and time-varying correlations. The multivariate framework with these features will contribute to a better understanding of the interdependence and integration among the stock markets in the Greater China region. Our results confirm the existence of volatility persistence and asymmetries, and there is some evidence of a common degree of persistence ('co-persistence') among the markets. It is also found that the Mainland Chinese markets are actually less volatile than the Taiwan and Hong Kong stock exchanges in …
New Estimates Of The Equilibrium Exchange Rate: The Case For The Chinese Renminbi, Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha, Zhaoyong Zhang
New Estimates Of The Equilibrium Exchange Rate: The Case For The Chinese Renminbi, Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha, Zhaoyong Zhang
Zhaoyong Zhang
We estimate the nominal equilibrium exchange rate (EER) of the Chinese renminbi (RMB) vis-à-vis the US dollar from 1995 to 2009. While most of the recent empirical studies on the EER employ a cross-country analysis, country-specific factors, especially supply-side real factors, are not fully taken into consideration in estimating the EER. To better reflect China's processing exports in the context of growing intra-regional trade in Asia, we incorporate in the empirical analysis the source-country breakdown data on import prices and input coefficients of intermediate inputs by constructing an annual new International input-output (IIO) table for the period from 1995 to …