Interest-Rate Volatility in Emerging Markets
利用拉丁美洲和亚洲国家的高频利率数据，分析利率波动的时间行为及跨国联动，发现高波动期通常持续2至7周，且存在一定跨国联动证据。
We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that high-volatility episodes are, in general, short-lived, lasting from 2 to 7 weeks. We also find some evidence of interest-rate volatility comovements across countries. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.