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Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises
https://hue.repo.nii.ac.jp/records/869
https://hue.repo.nii.ac.jp/records/86956a20c3c-7889-410a-96e9-a06b1956043b
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
keizai1978310403.pdf (1.5 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||||||
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| 公開日 | 2023-02-28 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises | |||||||||||
| 言語 | en | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | ARFIMAX model | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Financial crisis | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Exchange rate | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | High frequency time | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
| 資源タイプ | departmental bulletin paper | |||||||||||
| 著者 |
Maekawa, Koichi
× Maekawa, Koichi
× Lu, Xinhong
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| 抄録 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | In this paper, we analyze volatility in high frequency data on returns on the exchange rate for the Japanese Yen against the US dollar during the following economic crises: the Russian financial crisis of 1998； the Asian financial crisis of 1997-98； and the current global financial crisis, which began in 2008. We in particular analyze the effects of these economic crises on long memory processes in volatility by using the autoregressive fractionally integrated moving average model with an explanatory exogenous variable,which can represent asymmetry in volatility. From this model, we find that there are statistical evidences of long memory and asymmetry in volatility in the returns on the Yen/US$ exchange rate.We compare the effect of the Russian and Asian financial crises on long memory and find that the former effect on volatility is larger than the latter.Concernig with the current global financial crisis,it is ongoing and hence firmer conclusions on this period await the end of this crisis.However as long as the data up to November,2008is concerned we can see that the current global financial crisis has extremely strong effects on the long memory property.Roughly speaking,the size of the shock seems to be associated with the magnitude of the long memory parameter.We may suggest that d could be used as an indicator to evaluate the level of the shocks in economic crises. |
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| 書誌情報 |
広島経済大学経済研究論集 en : HUE Journal of Economics and Business 巻 31, 号 4, p. 41-69, 発行日 2009-03-31 |
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| 出版者 | ||||||||||||
| 出版者 | 広島経済大学経済学会 | |||||||||||
| ISSN | ||||||||||||
| 収録物識別子タイプ | ISSN | |||||||||||
| 収録物識別子 | 0387-1436 | |||||||||||
| 書誌レコードID | ||||||||||||
| 収録物識別子タイプ | NCID | |||||||||||
| 収録物識別子 | AN00212083 | |||||||||||
| フォーマット | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | application/pdf | |||||||||||
| 著者版フラグ | ||||||||||||
| 出版タイプ | VoR | |||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
