01837cas a2200253 a 4500 AALejournalIMF000559 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451842975 1018-5941 BD-DhAAL BD-DhAAL Jochum, Christian. Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies? / Christian Jochum, Laura Kodres. Washington, D.C. : International Monetary Fund, 1998. 1 online resource (39 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Recent interest in futures contracts on emerging market currencies has raised concerns among some central bank authorities about their ability to maintain stable currencies. This paper presents empirical results examining the influence of the Mexican peso, the Brazilian real, and the Hungarian forint futures contracts on the respective spot markets. While measures of linear dependence and feedback indicate strong connections between the respective markets, futures volatility does not significantly explain spot market volatility, nor does it increase after futures introductions. To account for the characteristics of the spot and futures returns a SWARCH model has been employed to estimate volatility. Mode of access: Internet Kodres, Laura. IMF Working Papers; Working Paper ; No. 1998/013 Full text available on IMF http://elibrary.imf.org/view/journals/001/1998/013/001.1998.issue-013-en.xml IMF e-Library