Volatility spillovers among developed and developing countries: The global foreign exchange markets
| Autor: | Walid Abass Mohammed |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Index (economics)
volatility spillover Developing country Monetary economics Spillover effect foreign exchange market 0502 economics and business G1 Economics ddc:330 financial interdependence 050207 economics 050208 finance financial crisis 05 social sciences VAR framework HD61 F3 return spillover Financial crisis HG1-9999 Variance decomposition of forecast errors Risk in industry. Risk management Volatility (finance) G01 Foreign exchange market Finance variance decomposition Pound Sterling |
| Zdroj: | Journal of Risk and Financial Management Volume 14 Issue 6 Journal of Risk and Financial Management, Vol 14, Iss 270, p 270 (2021) |
| ISSN: | 1911-8074 |
| Popis: | In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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