Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the...

An impulse response function is derived for a vector autogressive model with a multivariate GARCH-in-Mean process. The multivariate GARCH volatility speci cation is based on Tsiaplias and Chua (2009) and accommodates both direct and indirect volatility spillovers. The impulse response function...

This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rate. This method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models where the conditional variance is serially correlated and...

Large shareholders may affect managerial decisions through the threat of selling their holdings and thereby negatively influencing price. The split-share structure of Chinese corporate ownership imposes restrictions on ownership and shares trading. Using these institutional features, we test the...