Number of the records: 1
Asymmetric volatility connectedness on the forex market
- 1.0478477 - ÚTIA 2018 RIV NL eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Asymmetric volatility connectedness on the forex market.
Journal of International Money and Finance. Roč. 77, č. 1 (2017), s. 39-56. ISSN 0261-5606. E-ISSN 1873-0639
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : volatility * connectedness * asymmetric effects
OECD category: Finance
Impact factor: 1.623, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf
We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high- frequency, intra-day data of the most actively traded currencies over 2007–2015 we doc- ument the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, dif- ferent monetary policies among key world central banks, and developments on commodi- ties markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with nega- tive spillovers.
Permanent Link: http://hdl.handle.net/11104/0274598
Number of the records: 1