亚洲金融危机后亚洲各国汇市的波动特征改变了吗

Has the Volatility of the Asian Currency Markets Changed after the Asian Financial Crisis?

亚洲金融危机首先爆发在各国的汇市上。危机过后多年，亚洲汇市的波动与危机前的状况有实质性改变吗?本文运用GARCH模型比较了亚洲各国及地区(韩国、泰国、台湾地区、新加坡、日本、印度、马来西亚和中国)汇市波动变化并进行了排序。实证结果表明，亚洲危机后各国汇市波动的方差扩大，冲击的影响在汇市上持续时间也有所延长。其原因是亚洲各国汇市的联动增加了。为了确保在第三国市场的份额，各国都在频繁调整和干预本国汇市。

The Asian financial crisis started in the currency markets. Have there been any substantial changes in the volatility of the Asian currency markets after the crisis? The paper studies the volatilities of the currency markets in South Korea, Thailand, Taiwan, Singapore, India, Malaysia and China by adopting the GARCH model. The empirical results indicate that the variances in these currency markets have increased after the crisis. In addition, the 'volatility persistence' has lingered on in the markets. The explanation to this phenomenon can be found in the correlations among these Asian currencies. In order to maintain the export share in the third markets, the central banks in these Asian countries frequently adjust and intervene the exchange markets.