Interest-rate volatility in emerging markets

• 成果类型: Article
• 署名作者: Edwards, S; Susmel, R
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; University of Houston System; University of Houston
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465303765299855
• 发表日期: 2003-05
• 页码: 328-348
• 关键词: time-series; MODEL

摘要

We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that high-volatility episodes are, in general, short-lived, lasting from 2 to 7 weeks. We also find some evidence of interest-rate volatility comovements across countries.