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首页> 外文期刊>The North American journal of economics and finance >The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data
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The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data

机译：亚洲有效汇率的时频协同率：日常数据的小波方法

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摘要

To examine the co-movement characteristics of effective exchange rates across frequencies and over time, we employ the wavelet approach to analyze the daily data from four Asian economies. The empirical results indicate that: First, the foreign exchange markets of Japan and Korea are highly integrated at the scales of less than one year before 1995 and more than one year after 2005. Second, the degree of integration between Korea and Hong Kong is higher than that between Korea and Taiwan. Third, the exchange rate of Japan leads that of the others. Furthermore, to investigate the implications on portfolio diversification, we calculate the ratio of restricted to unrestricted value at risks (VaRs) and find that co-movement amplifies portfolio risks and this amplification increases with scale. In addition, to assess the stress performance of Asian foreign exchange markets conditional on a particular economy's state, we estimate the wavelet based conditional VaR (WCoVaR) and observe that the systematic risk is larger at the scale of 2-32 days than at other scales. Investors should consider these co-movement features and systematic risk distributions when diversifying in Asian foreign exchange markets.
机译：为了检查频率的有效汇率的合作特性，随着时间的推移，我们采用小波方法来分析来自四个亚洲经济的日常数据。经验结果表明：首先，日本和韩国的外汇市场在1995年之前的尺度不到一年，2005年后一年多的尺度高度整合。第二，韩国与香港的一体化程度更高而不是韩国和台湾之间。第三，日本的汇率会导致他人的汇率。此外，为了调查对投资组合多样化的影响，我们计算了限制在风险（vars）上的不受限制价值的比率，并发现合作放大了组合风险，并且该放大随着比例而增加。此外，为了评估亚洲外汇市场对特定经济状况的条件的应力性能，我们估计基于小波的条件var（Wcovar），并观察到系统风险比其他尺度在2-32天的等级中更大。投资者应考虑在亚洲外汇市场多样化时考虑这些合作特征和系统风险分布。

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