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| Spillover Effects between Exchange Rate and Interest Rate Based on the Binary GED-GARCH |
| CHEN Shou-Dong, GAO Yan |
| 1.Jilin University, Changchun, China; 2.Hebei United University， Tangshan, Hebei, Chian |
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Abstract We use binary NGARCH and GEDGARCH models to analyze the Spillover Effects between Exchange Rate and Interest Rate before and after financial crisis respectively, and then valuate the two models by adaptive mean absolute deviation and adaptive root of mean square error criterion. As a result, we found out that the forecasting effect of binary GED-GARCH is better, and there is no Spillover Effects between Exchange Rate and Interest Rate before financial crisis, but there are two-way Spillover Effects between them after financial crisis.
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Received: 20 May 2012
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2012, Vol. 9 
