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Applied Economics Letters Volume 10, 2003 - Issue 2
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Original Articles

Interest rate-exchange rate dynamics in the Philippines: a DCC analysis

Carlos C. Bautista College of Business Administration, University of the Philippines, Diliman, Quezon City, Philippines
Pages 107-111 | Published online: 06 Oct 2010

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Enzo Weber. (2010) Volatility and causality in Asia Pacific financial markets. Applied Financial Economics 20:16, pages 1269-1292.
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Magnus Andersson, Elizaveta Krylova & Sami Vähämaa. (2008) Why does the correlation between stock and bond returns vary over time?. Applied Financial Economics 18:2, pages 139-151.
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Yuan-Hung Hsu Ku, Ho-Chyuan Chen & Kuang-Hua Chen. (2007) On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios. Applied Economics Letters 14:7, pages 503-509.
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Monica Billio, Massimiliano Caporin & Michele Gobbo. (2006) Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation. Applied Financial Economics Letters 2:2, pages 123-130.
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Articles from other publishers (16)

Pick Schen Yip, Robert Brooks, Hung Xuan Do & Xuan Vinh Vo. (2022) What drives cross-market correlations during the United States Q.E.?. International Review of Financial Analysis 83, pages 102320.
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Thobeka Ncanywa & Ombeswa Ralarala. 2022. Socioeconomic Dynamics of the COVID-19 Crisis. Socioeconomic Dynamics of the COVID-19 Crisis 193 213 .
Remzi GÖK & Erkan KARA. (2021) Testing for Causality among CDS, Interest, and Exchange Rates: New Evidence from the Granger Coherence AnalysisCDS, Faiz ve Döviz Kuru Arasındaki Nedensellik İlişkisinin Analizi: Granger Coherence Metodundan Yeni Kanıtlar. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 16:2, pages 427-445.
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Bhavesh Garg & K.P. Prabheesh. (2021) The nexus between the exchange rates and interest rates: evidence from BRIICS economies during the COVID-19 pandemic. Studies in Economics and Finance 38:2, pages 469-486.
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Dilara AYLA. (2019) TÜRKİYE’DE FAİZ ORANI VE DÖVİZ KURU İLİŞKİSİ ÜZERİNE BİR ARAŞTIRMAA RESEARCH ON RELATIONS BETWEEN THE INTEREST RATE AND EXCHANGE RATE IN TURKEY. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 9:17, pages 289-308.
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Jing Qin, Jintian Ge & Xinsheng Lu. (2018) The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality. Physica A: Statistical Mechanics and its Applications 506, pages 1026-1037.
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Alin Marius Andrieș, Bogdan Căpraru, Iulian Ihnatov & Aviral Kumar Tiwari. (2017) The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania. Economic Modelling 67, pages 261-274.
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Ahmet Sensoy & Cihat Sobaci. (2014) Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. Economic Modelling 43, pages 448-457.
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Nikos S. Thomaidis, Efthimios I. Roumpis & Vassilios N. Karavas. 2011. Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models. Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models 74 96 .
T.. (2010) Investigation of Socially Responsible Investment Markets (SRI) Using Dynamic Conditional Correlation (DCC) Method: Implications for Diversification. Journal of Mathematics and Statistics 6:4, pages 385-394.
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Theodore Syriopoulos & Efthimios Roumpis. (2009) Dynamic correlations and volatility effects in the Balkan equity markets. Journal of International Financial Markets, Institutions and Money 19:4, pages 565-587.
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Gerard H. Kuper & Lestano. (2007) Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia. Journal of Asian Economics 18:4, pages 670-684.
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Carlos C. Bautista. (2003) Estimates of output gaps in four Southeast Asian countries. Economics Letters 80:3, pages 365-371.
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Alin Marius Andries, Iulian Ihnatov, Bogdan Capraru & Aviral Kumar Tiwari. (2016) The Relationship between Exchange Rates and Interest Rates in a Small Open Emerging Economy: The Case of Romania. SSRN Electronic Journal.
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Nikos S. Thomaidis, Efthymios Roumpis & Nick Kondakis. (2009) Optimal Portfolio Allocation Strategies with Dynamic Factor Models. SSRN Electronic Journal.
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Gregorio A. Vargas. (2009) Dynamic Equicorrelation with Non-Gaussian Innovations. SSRN Electronic Journal.
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