Artikel
Volatility spillovers among developed and developing countries: The global foreign exchange markets
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 6 ; Pages: 1-30 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Financial Crises
- Thema
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financial crisis
financial interdependence
foreign exchange market
return spillover
VAR framework
variance decomposition
volatility spillover
- Ereignis
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Geistige Schöpfung
- (wer)
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Mohammed, Walid Abass
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2021
- DOI
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doi:10.3390/jrfm14060270
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mohammed, Walid Abass
- MDPI
Entstanden
- 2021
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