Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the backdrop of these two very different regulatory and institutional regimes we examine how the inter-temporal dynamics of forward-directed currency market instruments are both influenced by, and influence, spot market exchange rates.