DOIONLINE 
DOIONLINE Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
 Journal Home Volume Issue |
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Issue |
Volume-7, Issue-3 ( Mar, 2021 ) | |||||||||
Paper Title |
Voliatility Contagion effect for exchange Rate And Foreign Exchange Reserve In China: A Diagonal Bekk Garch Approach | |||||||||
Author Name |
Xiangqing Lu，Roengchaitansuchat, Charuk Singhapreecha, Jirakom Sirisrisakulchai | |||||||||
Affilition |
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Pages |
24-30 | |||||||||
Abstract |
Abstract - The present study attempts to clarify the effectiveness of China’s foreign exchange reserve intervention on its central parity exchange rate. Using a bivariate diagonal BEKK GARCH framework, the study helps to understand the volatility contagion effect between exchange rate and foreign exchange reserves in China’s economy between December 1999 and December 2020. The results evidence that two variables are not simply linear or causality buta dynamic correlation and presence the strong volatility contagion. Besides having significant policy implications, the study finding would be beneficial for investors and traders. Keywords - Exchange rate, China’s Foreign Reserve, Volatility Contagion, Diagonal BEKK. | |||||||||
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