Empirical comparisons on the effects of the US and the Japan quantitative easing policies on the Asian exchange rates
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This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be quite appropriate to represent the daily Asian returns. Then, this paper empirically compares the effects of the QE policies by the Fed and the BOJ on the Asian exchange returns using the ARMA‐FIGARCH model with the lagged dummy variables to account for the effects of the QE policies on the mean and the volatility process of the Asian returns. The empirical results shows the direct negative impacts of the QE policies by the Fed and the BOJ on the mean process of the KRW and the SGD exchange returns except the INR returns indicating the direct appreciation of the KRW and the SGD currencies against the USD and JPY. But, there are no direct effects of the QE policies on the volatility process of the Asian exchange returns. These results can help policymakers in the Asian central banks to make them better understand the international implications and the challenges implied by such QE policies.
Abstract
This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be quite appropriate to represent the daily Asian returns. Then, this paper empirically compares the effects of the QE policies by the Fed and the BOJ on the Asian exchange returns using the ARMA‐FIGARCH model with the lagged dummy variables to account for the effects of the QE policies on the mean and the volatility process of the Asian returns. The empirical results shows the direct negative impacts of the QE policies by the Fed and the BOJ on the mean process of the KRW and the SGD exchange returns except the INR returns indicating the direct appreciation of the KRW and the SGD currencies against the USD and JPY. But, there are no direct effects of the QE policies on the volatility process of the Asian exchange returns. These results can help policymakers in the Asian central banks to make them better understand the international implications and the challenges implied by such QE policies.
참고문헌 (36)
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