Granville, Brigitte; Mallick, Sushanta; Zeng, Ning - In: Journal of Asian Economics 22 (2011) 6, pp. 427-440
This paper explores the degree of price and exchange rate interdependence between China and the G3 (US, Japan and the Euro-zone) by undertaking a VAR based shock analysis. A GARCH framework is also employed to derive the conditional variances to uncover the extent of volatility transmission. We...
